A .tar (Tape ARchive) file is an ancient but still common format first (and mostly) used by UNIX machines. It is actually *not* compressed -- it's just the multiple files strung together back to back. It was originally used to turn a whole bunch of files into a single file that could be backed up onto tape more easily (hence the name).
It's most often seen as a .tar.gz file (sometimes mangled into a .tgz or .tz or something like that), which is a .tar file that's been compressed by GZip. WinRAR (and, I believe, WinZip) can uncompress them.
On a Unix machine, you would use the following commands:
to uncompress if you have a .tar.gz: gunzip <filename>
to unpack the files from the .tar: tar xvf ./<filename>
To create one:
first pack the files: tar cvf <tarfile name> <input file names>
then zip the archive: gzip <tarfile name>