help with rar-files

Every time i download a rar type file i have no idea what to do with it or where do i put specifically put it.For example: The mario game that u can download from this site...where would i put that? Thanks to anyone who can help me figure this out!! :confused: :(

rar type files are files compressed into a format similar to .zip from winzip
use Winrar(there's a free one) to uncompress the .rar files
you can get it at
http://www.win-rar.com/
or
http://www.rarlab.com/