From: http://www.jtpfxp.net/nfosfvrar.htm#rar
SFV Files
Well I have found that many people do not even use SFV files, let alone know what they are for. Their purpose is to verify the integrity of all the files using a CRC check. Since split RAR files cannot be modified once created (without corrupting them) this is very usefull on this type of file. Any modification in size or structure to the file, usually when your modem messes the data up, will cause the CRC check to fail.
You can easily verify your downloaded files using a special program and the SFV file. The best one I have found is QuickSFV, so download that and install it. Let it associate with at least SFV and whatever else you want. Now all you need to do is double click the SFV and it starts checking the files, simple as that.
RAR Files
Many people are confused by RAR files and do not know how they truly work. They are quite simple and very similar to the common zip file. The big difference is the compression method they use, usually a file can be compressed smaller using RAR than if ZIP was used. Also when creating RAR files it is easy to make them into multiple sections. The purpose of this is to make downloading easier, and if you get a corrupt file you only have to download a small chunk and not a huge 500+ MB file. Standard split RAR files start out with the .rar extension then go to numbers starting with .r00, .r01, etc. The main file is the .rar and is where the whole archive begins. You do not even need all of the files to extract smaller files in the archive. If you have each piece with the information for a file you can extract it. With big releases the case usually is that there is only 2 files and you need both so you must acquire all the pieces of the RAR file. Sometime certain groups will not use the standard naming scheme for the files, but instead use the extensions .001, .002, .etc. Here the main file is .001 and everything is pretty much the same, but with different file extensions. This is probably done to conceal what the files really are.
If you are having problems seeing all the file extensions you may have file extension hiding turned on in windows. To disable this annoying option in WindowsXP open up Windows Explorer (WindowsKey + E) go to Tools -> Folder Options and switch to the "View" tab and uncheck "Hide extensions for known file types". For any other version of windows it should be almost the same, just look in the folder options and you should find it.
Ok now that you know a little about RAR files its time to install WinRAR. Just run the installer and let it do its thing. All the default settings should be good for now, you can play with them later. WinRAR should automatically install shell extensions which make it easy to extract the .rar files. If you have a full set of RAR files with the normal file extensions you can now right click on the .rar file and select WinRAR -> "Extract to <filename>\". This will extract the contents of the whole set of RARs into a subfolder named after the file. If you have a set of RARs without the standard file extensions the shell menu will not appear. To extract these you need to open WinRAR and use its built in file browser to browse to the folder with the files. Select the first file in the set (usually .001) and click the "Extract To" Button. It will come up with a dialog box showing the folder it will extract to and some other options. It automatically generates a subfolder to extract to based on the filename so you can just press ok to extract it there.
*NOTE: If you have checked all the files with a SFV and they are fine but WinRAR is giving CRC errors, make sure you have the newest version of WinRAR. Sometimes with a new version they will update the compression method, and the older versions wont be able to handle it.
That's it, you should now have your files extracted and ready to use. If you end up with a BIN and CUE file you need to burn it or virtually mount it to use it.