To install unrar in Ubuntu you need the Multiverse Repository enabled (there are patent reasons why it is not included in the default distributions). Likewise, some of the other distros may have it in a non-standard repository.
When you are extracting movie files, they will generally be a collection of files (eg ".r01", ".r02", etc, being split up to help downloading). Just ignore these, and from a terminal command line, run unrar on the main '.rar' file. It will automatically grab all the pieces and put them together.