Did this come as a .zip or .rar file?
You will then have to decompress the archive. For zip files, you can do this within Explorer, but with rar files you need WinRAR or 7zip. (WinRAR will also open up zip files as well).
With the archive open, you can then extract the content to a folder such as your downloads folder. Sometimes this will create a sub-folder usually in the same name as the archive.