In computing, .rar is a proprietary file format for data compression and archiving. It's like .zip

.exe is the common filename extension for denoting an executable file (a program) in the MS-DOS, Microsoft Windows, and OS/2 operating systems.

For list of extensions and their purposes visit this link:
http://en.wikipedia.org/wiki/List_of_archive_formats

To open .rar, .zip or other similar files this thread has more info:
http://www.gnutellaforums.com/showthread.php?t=57616