The coordinate reference system is latitude/longitude and theWGS84 datum.
A "shapefile" consist of at least three actual files. This is a commonly used format that can be directly used in Arc-anything, DIVA-GIS, and many other programs. Unfortunately, many of the non standard latin (roman / english) characters are lost in the shapefile. Even if you use the shapefile for mapping, you can use the .csv file that comes with the shapefiles, or the attribute data in the geodatabase for the correct attributes (the geodatabase is a MS Access database that (on windows) can be accessed via ODBC).
An "ESRI personal geodatabase" is a MS Access file that can be opened in ArcGIS (version 10). One of its advantages, compared to a shapefile, is that it can store non-latin characters (e.g. Cyrillic and Chinese characters). You can also query the (attribute) data in Access or via ODBC.
An "ESRI file geodatabase" can be opened in ArcGIS (version 10). It can also store non-latin characters (e.g. Cyrillic and Chinese characters).
A "Google Earth .kmz" file can be opened in Google Earth.
A "RData" file can be used in R (with the sp package loaded). See the CRAN spatial task view
Some files have been compressed and grouped in ZIP files. You can use programs such as 7-zip to decompress and ungroup these files.