it is a (/&/%(&) windows thing, sometimes winrar is asociated with ".ISO" files.
just burn the file do NOT unrar it. burn as image (not bootable...) as is.
the downloading FAQ has some answers, here is a link.
http://www.knoppix.net/wiki/Downloading_FAQ
here to be specific.
http://www.knoppix.net/wiki/Download..._do_with_it.3F