Is there a difference about it ?
Yes? Because save files in RPGMaker games are stored directly within the game's folder itself. However, the contents of zip/rar files cannot be altered, so you cannot save if you play the game without unzipping the game folder first.
First i have it it by default winrar so that mean i have to unzip it ?
Yes, you have to get the entire game folder out of the zip/rar, then you can run the game.exe from that unzipped folder normally.