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ZIP and RAR files are both archives, whereas APK files are Android installer packages. I haven't done what Jazziette mentioned other than to install the Icarus mod, but generally, a RAR or ZIP file needs to be extracted to get the contents inside. If there is an APK file inside the RAR or ZIP, then it needs to be extracted.
If someone knows something I don't on this particular subject, please fill me in. I'm definitely not averse to learning something new.
If the content inside the ZIP or RAR is a .apk file, then you would want to extract the .apk file and load it on your SD card. Alternately, if you have Root Explorer or an unzip app, you can load it on the SD card and then extract it. The reason I made a clarification is that any installer for an app or game should be a .apk file. Any app you download from the market will be in .apk format, but apps that you get elsewhere may be in .zip or .rar format instead, depending on who uploaded it.