I'm guessing that you have a .dat file right now?
If so, here's what you do.
Open WinMPQ, create a new MPQ archive.
Click add, and find your .dat file.
When the Folder Name... box shows up, type arr\ then hit OK.
Right click on the .dat file (in WinMPQ) and choose rename. Rename it to arr\weapons.dat if it's a weapons file, arr\unit.dat if it's a units file, etc.
Run the mod.
Think of MPQs as kind of like zip files.