WinRAR is a my choice.
I used to use PowerZip but it kept saying some files were 'mising' when I tried to extract them. (It makes me cringe to think how many files I deleted thinking they were useless)
Usually when you download a directory of *.rar files they are named file01.rar, file02.rar, etc. You open one of those with WinRAR and it produces one file, usually *.iso or whatever.
I've heard good things about 7zip but since I have never personally used it, I can't really comment.
Good Luck