NEED HELP TO SET UP

[inoob26]

Im just basically a computer idiot who loves playing games and really hope someone could teach me what to do in order to play the game that i have downloaded(i downloaded the ISO files) and i dont know why it tells me the message saying

Error loading file : File is compressed (RAR)
Please decompress first (try WinRAR)

Is that telling me to decompress EVERY RAR folder or something else? Please help me!!!!!!