.rar is a type of compressed file, like Zip.
Either you clicked on this file to download it, or the webpage you are on is trying to send it to you for some reason.
If you clicked on it, Firefox is simply asking if you want to open it, or save it to your computer. If you want Firefox to always save files of this type without asking, click Save, then check the box "do not ask again for this type of file." Now whenever you click on a .rar file in a web page, Firefox will simply download it without asking.
If you didn't click on a file, then you should click cancel, and then close that webpage. Apparently it's trying to send you a file without your knowledge or permission, but fortunately Firefox's default is to alerting you to this fact.