.zip can be uncompressed in Linux at the command line: "unzip filename.zip". Many distributions include desktop uncompression software too. For Windows, I recommend the freeware
ZipGenius (I've used most of the main freeware compression programs out there).
.rm is a proprietary format used by RealMedia. You need their RealPlayer to deal with these.
.mpeg indicates either compressed audio or compressed video. You require a program that can handle this. There are too many possibilities to mention them all. Google for MPEG player.
.jpg files are image files compressed with a lossy algorithm. Open them in your favourite image viewer/editor.
