First you need to download WinRAR.

You can download it from the official site here - http://www.rarlab.com/download.htm

Install WinRAR.

Once WinRAR is installed you can simply open any .RAR files.

Now when you download your album it will open in WinRAR as a book looking icon. Double click it and then you will see all the songs in the album. Highlight them all or the songs you want and click the extract button and select a location to extract them to. You can also drag and drop it to the location you want. It's best that you extract it to your music folder. After it's been extracted, go to the location where you placed them and just click them or import them and it should play in your default media player.

This may be a tough concept for people who don't exactly have computer skills or have never used .RAR files before.

If you have a Mac please consult this guide on how to open .RAR files.
http://www.ehow.com/how_2091902_open-rar-files-mac.html (less info)