I'm assuming you are talking about a beatmap pack you downloaded.
osu! does not know how to handle rar archives. Those rar archives contain a bunch of "osz" files, which osu!
does know how to handle. You need to download a program that can extract/unpack them, two popular choices are
7zip and
WinRAR.
You can either extract them directly into the Songs directory in your osu! folder, or you can extract the files anywhere on your computer and then use osu! to open them.