Compressed files are archives that contain one or more files. This is done to save time when downloading them(smaller size) and to make distribution easier(downloading one file is better than downloading many).
Keep in mind that in order to use an emulator that you downloaded in a compressed format you will need to extract it first. Some emulators can read compressed roms(no need to extract the roms).
ZIP is probably the most well known compression format. Windows XP have build in the ability to manage such files. If you have another operating system or need a better program that handles such files look at the bottom of this page.
.rxx(00-99) files are multi part files that were created using WinRAR. To extract them just place all the files in one folder along with the rar file that came with them and just extract the first file. The rest will automatically follow.