You'll need a program to unzip the rar file to make it useable. You can probably find them easily enough with a google search, Winrar and 7-Zip are the two that come to mind. Essentially, you use those programs to open the rar file, then "extract" it to wherever you want (for instance, into your secret porno-game-folder). From there you should be able to just open it and run it like any other normal program.
They're very similar, but I think a zip file has a weaker encryption? That and you usually need a more advanced program (compared to like, basic windows functions) to extract a rar file. Think of it like a DVD and a BLU. They both have a movie on them, but you need a more advanced player to watch the BLU than the DVD (though the BLU player can also run the DVD).