If you've downloaded a file that ends in .zip or .rar, you will need to "unzip" it before you can use it. First, find the file on your computer.
Right click on the file. You should see a list of options. Choose either "Extract here" or "Extract to filename/". These options might be under a submenu called "WinZip" or "WinRar". "Extract here" is the best choice for one file, but choose "Extract to filename/" if there are several files in the zip file.
You should now see the unzipped file(s).