You will need Java to play Minecraft. If you don't have it, go get it.
If the files show up as a compressed archive (Zip/Rar) to you, or you cannot open the file by double clicking on it, first ensure you have Java installed. If you have Java installed then try using Jarfix to fix the file association.
Mineshafter proxyPut this somewhere you will remember it, then run it
The server proxy has been discontinued since almost nobody used it and it didn't work very well anyway.