WinRar will let you extract & create archive files...like WinZip. If you download an archive file (.zip, .rar), you can use WinRar to extract (unzip) the files onto your computer. Or, if you want to compress files into an archive to make them smaller (like if you have a file full of photos that you want to compress to send via email).

If you don't want to use WinRar, just delete it

Remember it's not Windows Media Player Classic...just Media Player Classic. It's different to WMP. If you can't find it in Add/Remove programs to delete, try using your computer's search to look for all files & folders with media player classic in the name - maybe you can delete it that way?