A lot of people get confused when they download an album only to find that it is compressed into a .rar file. A .rar file is simply a file format used by compression software. The archives are created because it makes it easier to upload entire albums as one file, and since it is compressed, it also reduces the size of the file being uploaded/downloaded. In order to extract the contents of a .rar file you will need the proper software. The most common program used for creating and extracting .rar archives is WinRar, which is shareware. However, there are a number of great freeware programs that do the job just as nicely. I've created a list of freeware audio programs, which you can find here:
Freeware Audio List
There are several free Compression/Decompression programs available for you to choose from at the bottom of the list. If you are still having trouble feel free to leave a comment and I would be more than happy to assist you.