The binary distributions are distributed as zip files, which are handled natively by Windows XP and later. For earlier versions, there are many tools that can handle the zip format, from InfoZip's command line unzip tool, to 7zip's multi-format graphical archive explorer. Although popular, WinZip has caused problems with line-ends in the past, and is not Free software, so we do not recommend it.
Source distributions are distributed as gzipped tar files. 7zip and similar multi-format graphical tools can handle these, or you can get Windows ports of the command line gzip and tar tools from multiple sources. See Other useful ports.
The command to unpack a source distribution from the command line is:
tar xzf emacs-24.4.tar.gz
If this does not work with the versions of tar and gzip that you have, you may need to try a two step process:
gzip -dc emacs-24.4.tar.gz | tar xvf -
You may see many messages from tar complaining about being unable to change the modification time on directories, and from gzip complaining about a broken pipe. These messages are usually harmless, caused by incomplete ports that are not fully aware of the limitations of Windows.