There shold be a readme file with it that tells you want folder to put the cameraraw filter file into.
If not, the readme is available on the Adobe web site at
http://www.adobe.com/support/downloa...jsp?ftpID=2936
RAW lets you make big adjustments (white balance, tint, exposure, midtones, shadows, etc.) BEFORE creating the JPG. Once it is a JPG you can't do those so easily and without data loss. And you can go back to the RAW file and make further modifications without data loss.
John