rar files is the same as zip files, which is known as the lzh files in Japan. It is a kind of compressed file type. You can use WinRAR to extract the files inside a rar file.
I tend to promote 7-zip. It's basically the same as WinRAR but free software (open source), it handles most formats (ZIP, CAB, RAR, GZIP and TAR, etc, etc.)
How else would you like them? Most material is best compressed, RAR is a very popular format, compresses better than ZIP too (possibly the worst format still around, due to age).