I take it you are manually transferring large files between two machines.
This can be tricky - it could just be that windows is using a different way of encoding the chinese characters - have you tried writing a document with chinese characters, rar-zipping that then transferring and unzipping?
Another thing you could try, is to use pkzip instead of rar to make the zip file.
rar could just be garbling the chinese encoding in the file-names so bzip or gzip (whichever you used) has trouble reading them. Of course, just giving the file an english name and re-writing in chinese characters will also work - if a bit tedious.
A nice test would be to gzip a file in linux which had chinese character filename and then see if it unzipps with chinese under linux (and windows too - i.e. do the transfer the other way before you blame the linux unzipper.)
I'm inclined to think that the handle which tells the unzipper that the filenames should be chinese is just stripped in rar ... because of the way filenames are handled. Especially if the linux environment allows a mixture of chinese and roman character filenames.
OTOH: I've not heard of this before... and I have had no reason to use the simplified chinese environment or chinese characters in filenames.