Bryan,
First what you are seeing is the program WinRAR.. Emulators have many files, and are distributed in a compressed file format. You use WinRAR to extract the files from the compressed archive.. It's a pretty simple and straightforwar procedure..
I also reccomend using SSF, as it is the best out there right now. You may also need to find a BIOS file, or you may not.. I can't remember the specifics as I have not used SSF in a while.. You probably do need it though.. We cannot help you find the BIOS file or Saturn games, because they are copyrighted material and we don't want the site shut down.. So you have to find the BIOS and games on your own..
Just remember that any files you do find that are ZIP or RAR need to be opened with WinRAR so you can extract the contents to a directory..