Rar is an archive method just like zip, only better. For the unpacking you need a special program called WinRar.
Tar is another archiving method, but without the compression. Winrar handles these files just fine.
Zip is, I guess, the most know archiver. If you don't know what that is, try to find it on the internet.
Nrg-files are Nero CD-images. With Nero you can burn the image on a CD-R/RW.
Bin and ISO files are just like the Nrg-files, but from other program's. Nero burn's then just fine.
Cue-files are text files that tell the writer-software how a bin-file should be burned on CD. So if you've got only a cue-file: you've got nothing...