1. you're telling mega to put the box you want (.rar archive) in another box (putting that in .zip archive first and downloading that instead of simply downloading the .rar archive). it may make sense if you're downloading a group of scattered files or a large file like a video, but is unnecessary for already-compressed archives.
2. you have file extensions hidden,
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.
2.1 if there was only one file in the .zip from mega (the internet explorer icon one), it's likely the rar and you probably have at some point accidentally told your windows to always open rar files with internet explorer instead of 7zip or winrar (if you enable extensions it should say black_souls.rar). right click on it, choose to open with 7zip.
2.2 if there were two files in the mega .zip (black_souls with internet explorer icon, and the black_souls archive next to it in your screenshot), then one of them is the .rar you need to unpack.
3. keep extensions enabled to avoid future confusion with what files you have.