Kamilek, do you have software installed to handle rar archives? WinRar, WinZip, 7-zip, etc..
If you don't, I'd recommend
7-zip. It's free, open source and handles just about any file archive out there.
Should you choose to install it, you'll need to set the file type associations in the program itself. Go to Tools->Options... and click Select All, confirm by clicking OK.
If you're using Windows 7 or Vista, be sure the right click the program and run as administrator when setting that option.