@OP, you really should do a bit of reading first. This is a great start:
http://forum.ppcgeeks.com/showthread.php?t=91619
It should answer a lot of your questions.
FYI, winrar is similar to winzip. You use it to create a .RAR file, similar again to a .ZIP, with one or more compressed files inside the RAR. On the flip side, you can of course use it to 'unrar' the RAR Files so you extract the contents of that RAR to your device.