Can't install unrarx. Please help

Hello all. I am fairly new to macs and only really use my Imac with Logic. I am totally useless with the workings of a mac. I have some large winrar files I need to unrar. Having searched forums for the best program for this and the best free one seems to be unrarx. I am having a nightmare trying to install it though. This is my process:

1. On the unrarx website I click on download.
2. I find unrarx in 'downloads'
3. I get message:
'unrarx is an applictation downloaded from internet. Are you sure you want to open it?'. I click yes.
4. A blank window with 'unrarx' at top and a drop down menu saying:
'extract to': Options: File directory, desktop, other, manage.

I choose desktop and from the top bar select :'file' then extract'.

I get the message: Extraction problem-please select file to extract.

I cant select file.

I have tried other programs that may do the trick but for various reasons cant manage that. I was fairly confident with Windows but have been reduced to a bumbling idiot by macs.

I am going nuts. Please help!!