.rar files

 Hi! I do not know if this is the right place to ask, but I do not know where else to ask, so I'll just post here. I won't mind if it gets erased. 

I love downloading tons of textures, but some of the downloads are in .rar format. Does anyone know how to download those type of files in this specific format? I am having lots of trouble. Everytime I try to download them, a media player comes up and I get extremely confused. 

Thanks! Any help will be much appreciated :)

p.s. I use Photoshop CS