Games are usually distributed in a number of RAR-archives (compressed files). This has been done to facilitate the actual download of the release. You only need to extract the first file in the sequence (usually named game.rar or game.r001/.001) and the rest of the files will be uncompressed automatically. If you need step-by-step instructions on how to extract RAR archives, see Hursty's 'WinRAR Guide. When the files have been extracted (uncompressed), a CD/DVD image file will be produced. The CD/DVD image is an exact digital replica of a CD/DVD, whereby all of the data is stored in one file to completely preserve the data structure and integrity of the CD/DVD. Some common disk image formats include: .BIN/.CUE, .IMG, .NRG, .MDF/.MDS, .CCD, and .IMG. These disk images can be burned using software such as Nero, Alcohol 120%, DVD Decrypter, and ImgBurn. See the sticky threads at the top of the PS2 DVD Backup forum if you need help in using these programs.
In short, typically, games are split into several compressed files. These files are usually found in RAR format and usually suffixed with .rar/.r00#/.00# file extensions. When these files are extracted (uncompressed), they 'come together' and produce a single image file (most commonly in .ISO format) which you can burn onto a CD/DVD.
NOTE: You need some type of modification to play backup PS2 games, either a modchip, using a hard drive & HDLoader, or via swap method.