A JAR file is a Java archive file containing Java files and metadata. Jar files are archives packed with the ZIP algorithm, which are often used to distribute Java libraries or Java applications. By using it as a container for an application, of course, images, audio data, etc. can also be included in a JAR file.
Java is a platform-independent programming language that only needs an installed Java Runtime Environment (JRE) to run a program. JAR applications can often be started simply by double-clicking or execute command.
Since JAR files are simple zip archives, the interested user can of course also unpack these files with an unpacker like Winzip or 7-Zip.