|A "RAR" file is an archive, think of it like some sort of zipped bag. To open the bag, and access the files inside you need an extractor (once extracted, you will be able to run your game)|
There are several tools for opening RAR files, the first is winrar itself
It is free to download as a trial, however you will have to pay for the premium version
The other is 7-zip, that is open source.
Edit: I also forgot to mention to be careful of RAR or ZIP archives, as both can be used for hiding viruses/malware. Only open from sources you trust!
Both are fully capable of opening and extracting RAR files!
Hope this helps!