Welcome to BVEStation.
A .7z file is a compressed file, kind of like a .zip file. Download the open-source and widely used 7zip program (search 7zip on google) to open the file.
After installing the program you open up the R38.7z file and you will see the train folder in there. Then you go to your openbve train directory and you drag the R38 in the .7z file in there