your correct, it has been answered a million times.
They are compressed file, a lot of time with 360 games they are even compressed twice.
So get and install Winrar, click on the first numbered file like game.001 with the right mouse button and choose "extraxt here" from the drop down menu. You will get 1 of 2 things. Either you will get the .DVD and .ISO files. Or you will get another folder with mor rar files that you extract the same way as the first. You can easily tell which you will get. If it is building the ISO the progress bar will go really slow. If it is giving you a second set of rar files you will see it whip through each current rar (.001,.002,.003 and so on in order) at a quick pace.
Yes. You only need to double click on 1 of the rar files, but you do need to have all of them downloaded.
The reason for having all the files is that it is much easier to upload/download multiple small files as compared to just 1 large file.
So Winrar takes the 1 large file (game) and breaks it down into multiple small files. So, once you've downloaded all the files, you need Winrar to reassemble them into 1 large file so you can burn it.
Important: when you are installing Winrar and you get to the screen which asks you which extentions to associate Winrar to... make sure you UNCHECK .iso.
Alot of new users will leave that checked. And then what happens is once they've unrared the game, the .iso (which you burn) will have a Winrar icon. So they'll unrar that (which is wrong) and then try to figure out why they don't have what they need to burn.
