Two likely options.
1. It's a rar archive (like zip only better). Search for and download 7zip as it's free and can extract rar files. Right-click the first file and select 'Extract here'. When done you should have a single avi file (and maybe a virus or two).
2. If it's a single file it was probably renamed so that it will transfer. Try changing the file extension to avi and double-click it. If Media Player can't open it, see 1 above.
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