what i do after i download a game from the enternet?

[shorty]

if someone can help me i am new at this i downloaded a psx game theirs like 20 files in the game and the little picture on the files is with win ace what am i supose to do next someone told me i have to extract it but how do i go about it one file at a time or i go to creat or what please help!help! help!