If it's a media file (sound, video, etc.), chances are 99% likely that it's going to be provided in a compressed format. Otherwise the file sizes would be even more gargantuan.
Compression formats like ZIP and RAR are best for things like text, Office files, etc. They buy you very little in compression on binary media files, because the compression has already been baked in the file format so that it can be passed around the network or save disk space, etc.