Once you leave you can not go back and finish anything else. The best thing you ca ndo is reload before you finished that chapter then finish what you want to. After that do what it was that finished the chapter. I hope this is vague enough so it does not have any spoilers in it.
WinRAR
Once you have extracted the files so they are not rar files you should not have to have it. The trick would be if you want new modules and they are in rar format getting them. The two things I would suggest are check
www.downloads.com and see if they have a free version of something that extracts rar files. If you like WinRAR better then buy they full version. If it is a really goood program then you should not have an issuse paying the company or person for it.
Granamere