Yeah, Yeah, what ever I open it in WinRar, it said' Access is Denied. what a weak.
You're not being too appreciative of other people's efforts towards helping you solve your problem!
Suggest you lighten up a bit!
Back to the OP:
As HEXiT said, there has to be a way for you to 'install' your game. I'm assuming that you know the difference between 'mounting images' and 'installing'. If you've purchased the legit copy of the game, there should be no question of 'mounting an image' of the game...that's usually used for pirated versions. The download should come with an executable file/ setup, etc. The reason why you're probably getting the 'access denied' message is perhaps because you're not logged into Social Club or whatever it is that Rockstar uses as its download client.