RAW vs. JPEG
Think of RAW files as if they were the digital equivalent of a film negative. Think of JPEG files as if they were prints for distribution. You would not think of passing your negatives around to all your friends. On the other hand, like a print, the JPEG is the easiest format in which to distribute a digital image.
A RAW file requires the photographer to prepare the recorded image for viewing, because a RAW file contains everything recorded on the camera sensor. The better the camera and optics the better the RAW file. A JPEG contains what was recorded on the sensor plus everything the camera maker thinks is needed to make a good image better: color correction, sharpening, saturation and contrast. This is why a JPEG always looks better than an un-manipulated RAW file. However, if you want complete control of your image, from capture to presentation, use RAW capture and learn to process your own digital negatives.
Opening a File in Camera RAW
To open a RAW file you need to use a RAW convertor. The convertor most used today is Adobe Camera RAW convertor. The convertor comes bundled with the latest versions of Photoshop. It can be used with Adobe Bridge to select and convert one or more images simultaneously, though you do not need to go through Bridge to open a single image. Instead you can locate a RAW image file, either in Bridge or from within Photoshop, double-click on it and it will open in Camera RAW.