I use a program called unrar to unpack .rars
unrar /path/to/.rar/
Then I run the installer .exe with Wine. Once that finishes I add it as a non-steam game and select the newest version of Proton. Sometimes I'll check protondb if the game doesn't work right away.
From my experience Mullvad is the way to go for privacy. They're only about $5 USD a month and have a great app available from F-Droid.