games wont run?

alright, ill make it as simple as i cani was reading tutorials and stuff, and i cant find anything to help me1) i downloaded VisualBoyAdvance.exe and extracted it using Winzip
2) i registered on romulation
3) i downloaded super mario advance: super mario world 3
4) it looks like this "2161_-_Super_Mario_Advance_4_-_Super_Mario_Bros._3_(U)_(v1.1).rar"
5) i open the visualboy gba, and go to file -> open
6) nothing appears in the section where i saved my super mario to.what do i do?please tell me step by step, this is my first time using an emulator

.rar is another form of a zipped file you have to find a program to un zip, i use winrar

thanks ;D