I'm still new to this also but I'v got the zsnesw, VBA, and PJ64 to work so far without any problems so I'll attempt to help you.
Did you download all your ROMS from the same place? If so, the whole entire set of roms could have been corrupt. Try searching other places for them, they're very easy to come across.
And as for unzipping files. I'm pretty sure you can't run RAR files on the vba. Download a free software such as WinRar and use that to unzip the files. It's very simple, to make it easier, create a folder somewhere labeled VBA Games. Then find the place you downloaded the files. Right click them and select the "Extract to" option. After clicking this, WinRar should open up and all you have to do is click the icon in the menu bar that says "Extract to". Choose the files you created for the games and click ok. The game should extract the files to that folder and let you play them from there.