carlton,
7-zip is a bit of software for opening and creating compressed archives of different sorts, the common sort that most people will have heard of is a zip file, but there are several other different sorts of "zip file" that do the same thing but in a slightly different way.
Rar files are another form of these compressed files that windows can't open on it's own, it requires an extra bit of software.
although my answer consisted of only a link 7-zip is a very good bit of free software that will let you open pretty much all the common type of compressed archives.