how do you extract the files from the files labled file.001 (winrar?) then what

I don't mean to be a dumbass but this is my first time doing it and i want to do it right. All i need to know is what to do from the point I am at. I have the files downloaded and I want to extract the info inside but I am not completely sure what to do with it. Do I just extract the data into a directory and then burn it like a normal cd or what. Is there anything I should do before I burn the files. The game I am trying to burn is jet grind radio and it is the american version if that helps.

thnx