.sfv is a checksum file, normally containing CRC32 checksums. Basically, you use it to check files aren't corrupt. Yes, you need some sort of checksum program to use them, such as
hkSFV.
I usually open the .nfo in Notepad, works well enough
And yeah, it'll usually give instructions on how to use the rest of the stuff, including any serials you might need and how to bypass any activation/registration needed
As Hsu said, you can extract everything from the rars by just telling Winrar to extract the first one (might be part00.rar, might be the only .rar there with the rest actually numbered rar extensions, or some other sort of numbering).
Instead of burning to a CD though and possibly wasting a disc, I prefer to just mount the image file in Daemon Tools, a virtual CD drive, so I can use the CD directly off the HD without burning it yet. Alcohol 120% should be able to do similar.