If the warning is being generated there may be legitimate concern with proceeding, that being said proceed at your own risk.
You may but not necessarily have to enable the software to proceed past the gatekeeper which by default blocks software that is not from an identified developer. While there are a number of well known and popular software packages that are not from Apple developers (Gimp, Blender, LuxRender, Open Office) malicious software developers could also try to have you circumvent OS X's built in securities having the end user allow install through gatekeeper.
OS X: About Gatekeeper - Apple Support
if this is not the case the RAR may be damaged or secured in which case you may want to contact the archiver if thats an option. If not try on a Windows PC with WinRAR or with the terminal version for OS X
https://www.rarlab.com/download.htm
or have your friend recompress the files with another software package.