Ok yeah, Vimm is a good choice to download ROMs from
Most of the ROMs there are compressed into archive files either called ZIP or 7-Zip format and you need a program to extract the ROM out of the archive file
WinRAR will work and so will IZArc, both of which are free. IZArc dowsn't have any popups so you might want to try that one
I'll add that- I don't know if it happens in every archive tool, but I use IZArc and it defaults to extract the files to the Temp folder in C:\ and only then it moves the files to the desired location, and there's an option to change the Temp Folder, so if you have a big enough external device to extract to you should do that.