We often use compressed file folders to securely share software files on line.
The most common compressed file types are .rar and .zip. A compression software must be used to extract or unzip the folders to access the files inside.
winRAR is a very popular option download it here
When winRAR is installed you can right click on compressed file and click "Extract Here" for speedy decompression.
When selecting "Extract Here" the decompressed files will be placed in the same folder
(see screen shot below)