You best use Winrar, select all ZIP files and choose 'extract to', choose your destination directory and it will extract all zip files at once.
Usually you will find winrar files in there and a few *.nfo files from release groups. Now extract the Winrar files by selecting the *.rar file, choose 'Process all' when prompted and then it depends on what you will see.
If it is a *.cue and a *.bin file, you burn it with CDRwin or Fireburner (for burnsoftware you can check out www.cdrsoft.net, watch out for the popups).
If you get different directories and setup files (then you probably could skip the part about winrar files as well) then you can install right from that directory and burn the files straight to any CDR.