Usually this works by opening the first .rar and extract the file. The file in there is typically an '.iso' or a '.bin'. Once you've extracted this file, download a drive emulator such as Alcohol 120% (my personal favourite - available from alcohol-soft.com).
Alcohol 120% will create a 'fake' CD drive on your computer which will allow you to 'mount' the .iso or .bin file you've just extracted. Once you've opened up Alcohol, right click on the fake drive (you should know which one it is as the drive letter is new) and select 'Mount Image'. Now browse to the folder containing the .iso/.bin and select it.
Now this will act as a normal CD, you can access it via My Computer to install the game. Do the same with all the CD's and simply unmount CD1 when prompted, and mount CD2 to continue the installation etc.
If you need help let me know, this was kinda rushed (Y)