There is a possibility that you are downloading the actual video file itself and not rar files. Check the website that you downloaded it from for any information about this... If not, try changing the extension to one of the video formats (avi, mpg, mpeg, wmv, rm, mov, etc) and opening them in media player...
If you are sure that it is an archive, try repairing the file in WinRAR...
If all else fails, report the problem to the website and see if they can help you out...
Arun