Unlike Zip Files, Windows do not have in-built functionality to open .rar files. Just like .zip, .rar is a popular file archiving and compression file format. You need to install additional (free) software to able to open .rar files. WinRAR is free and very powerful archive manager ideal for .rar files.
Besides opening rar files it can also create rar file archives. Zip format is also supported by WinRar software. 7-Zip is another free alternative to open rar files. It is small and simple utility that support lot of file compression formats including rar, zip, cab, iso and many more. To open rar file on MAC OSX you can use iArchiver that supports zip, rar, dmg, hqx file compression formats.