you downloaded an .iso file
not a RAR file
don't unzip it

burn the iso image to a cd
boot it

if you want to dual boot / install you will need two partitions of free space, one for swap (linux-swap) and one for linux (ext3)
probably three, as you will want a space for putting things that windows wants to get at and linux too
this will be fat32, as the knoppix is not good with the NTFS