Because most games are so big, we download them in a compressed form. Sometimes we can recognise compressed files just by looking at them because they have "zip", "rar" or "img" after their name.
Compressed files are smaller (so they download to our Macs faster).
Once they're on our Macs, we need to uncompress them before they will run. Sometimes this can be called "unzipping" or "extracting" them.
To uncompress a file you may need an app. The best app for this is The Unarchiver, which is free.
Once you have The Unarchiver installed, to uncompress or extract a file should be as simple as double clicking on it.
https://macpaw.com/the-unarchiver .rar files are archives just like .zip, only it uses a different format of compression. There are sometimes even .7z, which the Unarchiver can open as well.