I use WinRar. I use XP though.
If you're on either Vista or Windows 7, you need to enter an administrators password. If you're on XP, check to see if you aren't an "admin" and have restricted access.
If you're on Mac, I can't help you.
I Just downloaded WinRar, now what do i have to do?? I have no general knowlege of using programs like this.