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In Depth / Articles
Archives are set of files put together in one archive, this allows them to be downloaded as one file, and extracted on your PC. This saves downloading a lot of files. Many archives are also compressed, meaning its a smaller download than downloading each file separately. Many downloads come as archives for yours and the author's convenience.
.EXE - Self Extracting Archives
For a slightly bigger file, the author can made the archive an executable file with all the things on one file needed to extract the file, they also can set things such as where each file should go on the user's system. There are by far the easiest to deal with.
When you encounter such a screen as this, all you need to do is press "Setup" or "Extract". If the option is to Extract, and not Setup, you will need to go to the folder you chose to extract to (or to where it tells you) and run the programs from there.
Choosing a Folder
For the initial download of the file, a good place is the "my
documents" folder, or your desktop. These are places to remember to
run the files from.
.Zip .Rar .Ace .Tar(.gz) - Manual Extraction
Using a Third Party Archiving Utility such as Winzip
Windows XP Archiving Utility
This is a nice utility that prevents you from running files with
dependencies from within the zip file. It also uses an easy to understand
wizard to extract files.