It means that say it's a .rar file, but you don't have WinRar. It will extract itself without the need of an extra program. Just double click it and press Ok and it will use it's inbuilt extractor to extract itself. It's compressed in a format known as 7-zip (up to 2 times better compression than standard .zip) but many extracting programs don't support the format, so i used an inbuilt extractor built with the program so it extracts it for you with no need of any extra programs or fuss trying to find a program to extract it.