Q1: Extract bomberman.part01.rar - the others will automatically extract when you do this. The .SVF file is there so you can verify the integrity of the download using a program like WinSVF (in the Help and FAQs section, I believe).
Q2: You can burn the ISO without the WAVs in most cases. You'll get a game with no music if you do this. Also some games require you have the proper audio files to boot. If you use Windows 9x/ME, then use EZCD 95 found in the Help and FAQs section to burn the game without a CUE sheet. Otherwise get Sega Cue Maker and use it to make a Cue sheet for your ISO+WAV/MP3 games. Use Nero or CDRWin to burn the game with this Cue sheet.
Q3: See my answer above. If there is no cue sheet and you don't use Win9x, you need a Cue sheet. I've heard people say that a burning package called Fireburner is a good program if you don't want to make a Cue.