RAR files are very similiar to Zip Files. They enable you to compress multiple files into 1 single file for ease of download and smaller filesize. If you download a .rar file, it will either usually be a big file or multiple files inside.
RAR compresses better than ZIP files do, and the WinRAR application supports more formats than WinZIP. Also, RAR has other nifty features such as file splitting that are useful when compressing large files into seperate chunks so you may download a large file in pieces. RAR also supports CRC32 Error checking to make sure the file you are extracting has not been corrupted.
You may download WinRAR from http://rarlabs.com. WinRAR is free software and will never expire, but it will nag a little at you to pay for it, but it will continue to function. WinZIP does pretty much the same thing, so no difference there. Plus when using the Right Click Menu of Windows to Extract and Compress you never see the windows asking you to buy it.