Installing programs in .rar format?

[mg48]

I downloaded quickmenu 2.7. I was in the .rar format. I have only used .cab so far and always select install to main memory. Simple for my noob abilities. I put pocketrar on my device to deal with quickmenu. I put it on my card in a folder I use for archiving all of my self installed programs. I copied the .exe and the two .dll files to the windows folder, but I keep getting a error mesage that the .dll's failed to load. Where am I supposed to put these files when I install a program that is not in the noob .cab format?

Thanks