LZX is a compression format (like .zip common in Windows). I think it's a successor to LHA but I might be wrong.
LZX can be decompressed to anything - one LZX file might just have a single picture in, another might be a whole suite of programs, or an installer for something.
Your setup in your signature doesn't list an optical drive so you'll need a DVD drive connected up (as you've said the files are on DVD, not CD), or a way of transferring the files off the DVD to your Amiga. Sorry if this obvious.
