A question about Windows Shell Commor

I was downloading a video which are available in parts. The files should be .rar files (z01, z02, z03). However after I finished downloading, I noticed that the files weren't .rar files instead they were in .dll files (Windows Shell Commor). Here's the pic:

download.jpg


Why is this happening? Is there anyway I could revert the files to .rar files? or are the links corrupted?
 
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