I'm not sure what kind of files you're talking about, but for games it's usually a bunch of .rar files. In other words, the creator used a compressor to split the one game file into many smaller files. You can use WinRAR to unpack it. If you don't have WinRAR I recommend downloading 7-zip, which supports almost all formats that you'll ever encounter in torrent files.
Usually, you can highlight all and right click to "decompress" files. Some programs allow you to just right click on one.
After that, depending on the game, you most likely will have an .iso file that's a few GB big. You can use CD/DVD burner like Roxio, Nero, Corel, Power2Go to burn it onto a disc for your console. If its a PSP game, then you can drag and drop it into the designated file for iso images.
If its a .rom [the GBA/DS] format, you should have a GBA card specially made to play games that you upload on it from the computer.
If its a computer file, then you can just install and play.
Other files in torrents sometimes include trackers, like Demonoid's, which are useless to you.
Eh? It depends. Could be screenshots. Could be what you need. Usually to play a game, you have to mount it (which is making a virtual CD-ROM, you can download software for this) or burn it onto a CDR or DVDR.
It depends. The file could be a Rar file and you could use something such as Win Zip to extract it but if it is a iso file you could use Alcohol or Power Iso.