The .lha files used by Amiga are slightly different file format than the .lha format used by WinRAR so you should unlha the files from the Amiga side of things. If you are using WinUAE or EUAE then it would help to mount the download directory of the host operating system and lha them from inside the emulator. BTW .lha files are archives similar to .zip files but with better compression.
-edit-
here is a link to an old version of the LHA archiver. It's in a self-extracting archive for Amiga.
Once you have extracted the archive move the LHa executable somewhere in your path then to unpack software type:
LHa x sourcefile.lha dest:path/
and be sure to remember the trailing slash on the destination path.
