They would probably be under your list of installed programs.

I use Windows, so WinRar is in my start menu. I could also find it by opening the control panel and selecting 'add or remove programs.'

Just to be clear, are you trying to compress a game or something? Compression as it relates to audio/video files is a different topic.

Good Luck

P.S. 7Zip is free, although you can't compress to certain formats, i.e. RAR format. It will open all formats, though. The website is www.7-zip.org