Winrar is a program for packing and unpacking files.
You can download it for free here
http://www.download.com/WinRAR/3000-2250_4-107 45708.html
If someone wants to send a lot of files over the interent it is often best to pack them up with WinRar first.
The file then has a file type of RAR, such as CHESS.RAR
You can then unpack the file with WinRar.
Install WinRar then right click on the chess file (or whatever it is called) and select "Extract Here" and the RAR file will unpack to the individual files.