Suppose your file is abc.zip.mp3
Go to control panel>folder options
Click on the view tab. Uncheck the "hide extentions of known file types" option.
Click on apply and say ok.
Now to to the file and you will see the name as abc.zip.mp3
Now carefully remove the .mp3
(I say carefully as in some cases, not giving properextenstions can permenantly corrupt the file. But usually, this this case, that is not a problem)
The icon of the file will now change to the usual "winzip" icon. Now unzip the file and play it. (the file will now be abc.zip)
Same thing for rar.mp3
Now go to folder optins and reenable that option else, renaming files will become a pain...
Usually people do this thing to compress the file a bit. It does shave off a few mb. But not actually useful. As a normal user, you (for that matter, most of us) will never think of searching for a compressed file. So people compress the file and add a .mp3 at the end, to fool winmx into showing it as an audio file, so that it appears in searches for audio files.