A .rar file is a compressed archive that must be unpacked before you can access the game's setup files.
: Double-click the .exe file to begin the installation wizard. Phantasmagoria.2.GOG.rar
Once extracted, you should see a folder containing a setup file (typically setup_phantasmagoria_2...exe ) and potentially one or more .bin files. Phantasmagoria.2.GOG.rar