how to convert .rar files

hey whats up guys, i was wondering if anyone on here knows how to convert .rar files to mp3 files. I download a couple of live shows and after it is completed downloading it comes up as a .rar file, and then ask which application i would like to open this with. I have no idea how to get the file to play or anythig. It might be because i download it of a file sharing site like mediafire. anyways if anyone knows what i should do just let me know

thanks again for any help