JAR files are actually just ZIP files! If you open up winzip or winrar and try and open the file it should open up to show its glorious contents. JAR files are very useful to allow you to manage all of the files that Java produces.
The folder structure of Java is based around packages. A java file in package X would be stored in a folder called X. In package X.Y.Z would be found in folder X/Y/Z. This becomes clearer as you go on.
JAR files are used mainly for completed Java applications or libraries. This makes setting up the class path a lot simpler!