Downloads available from python.org may be of many different types. The following provides a bit of information about them, and what applications can be used to unpack them.
These files are TAR archives that have been compressed using the bzip2 application. Most Unix users will want to use these, as they offer the best compression and the tools to work with them are likely already installed.
Windows users may want to install the bzip2 tools on their systems as well. Windows binaries for a command-line tool are available at the bzip2 and libbzip2 official home page.
An alternative "no install" open source command line tool for unpacking tar.bz2 files on Windows is TarTool.
For a more typical Windows graphical application, take a look at PowerArchiver. The bzip2 tools are free, but PowerArchiver is shareware.
ZIP archives are more commonly found on Windows, and these are made available for convenience. They typically do not provide as much space savings at the .tar.bz2 archives, but are easier to work with in some cases. Most ZIP archives available on python.org were created on Unix using the InfoZIP zip program, and the corresponding unzip program may be used to unpack them on Unix.
On Windows, they may be unpacked using the free WiZ tool (from the InfoZIP developers) or the proprietary WinZip tool. Many other tools for handling ZIP archives are available; any of them should work. WinZip can also handle the gzipped tar archives if needed, but be careful that the filenames may be mangled if you download these using a Web browser.