".rar" is the file extension for a compressed file or folder (in order to save space and/or be uploaded online as a single file, since often you can't really upload a folder). You need to extract that file (with something like WinZip or 7-zip). To do that, you should be able to right-click on the file and have a WinZip option. e.g.:
View attachment 116153
If you don't have either of those, download 7zip and use that to extract the zip. You should then get one or more files, one of which should be a .dat file. That is what you need to import into your game. You can do the import with GCR (which I see you already have), or
DAT Texture Wizard (DTW). If you have trouble finding the right file to replace, try DTW, as the files are a bit more organized and have descriptions.
Also, btw, there are a couple of texture threads existing already which you can post questions into. I would recommend the
Official Melee Texture Hack Thread, (unless you have a question specific to DTW or find a bug, in which case the DTW thread would be a better pick).