As you probably understand, they are four separate cds.
With that in mind,
Disc 1 is in rar format. Unrar it, and burn it.
Disc 2 in in (ace/zip/gzip/tar/??). Un(etc.) it, and burn it.
Disc 3, repeat.
Disc 4 is the same as disc 1.
Again, keep in mind these four discs are like four separate Saturn games. One of them being unrar'd isn't contingent upon the other.
--HOWEVER--
It occurred to me that the person who made the rar files made have rar'd two discs together. In that case, it's stupid. But, unrar, and see what kind of libraries it's storing (cue/bin, iso+mp3, nrg, ccd, etc. etc.).
Providing any and all information in the future would be helpful, i.e., names of the files, where you got it from (possibly), etc. The more the information, the more help you get.