I don't know at the moment how the files are compressed (I guess rar), but you can try some other compression tools to unpack it, as example
7z. You can also use it to check if the files is broken, in that case you should contact support again to get new files.
Edit 1: As far as I remember you need to extract the files in your main game folder.
Edit 2: Checked my mails. In my case it was a zip-file called nwncdkey.zip. Inside there is an ini-file with the keys which you need to copy into your game folder. If you can't open that file (as described my try another compression tool like 7z) the file is maybe broken and you should contact the support again. You need to download also another file from your game bonus content (the premium modul), which you need to install after you copied the .ini file into your game folder.
Edit3: Oh yes, and regarding the permission to overwrite the ini file, don't install the game to the usual program folder. That's maybe the reason you can't overwrite the .ini file easily. While installation choose another folder, as example c:\games\nwn and you should have no problem. That's btw recommended for every game running on Vista or Windows 7.