Have you extracted the files from the RAR archive?
RAR files are compressed, to save download time. You can't do anything with them until you've 'de-compressed' ( = 'extracted') them. I know that XP will extract ZIP files (which are also compressed) just by double-clicking on the file. However, I'm not sure whether it will extract from RAR files. (Your post suggests that it won't). You probably need a separate program to do the job.
Download this and install it:
http://www.download.com/Free-RAR-Extract-Frog/ 3000-2250_4-10804840.html?hhTest=1&tag=lst-2&c dlPid=10804841
Then download the RAR files to your hard drive (not direct to CD).
The new software should have created an appropriate 'file association', so double-clicking on one of your RAR files should now allow you to extract the component files. (Extract them to any convenient location on your hard drive. Don't try sending them straight to a CD). Then burn those files onto a CD.
Chris