They are just collections of multisamples collected into a big file. You need a software sampler like Native Instruments Kontakt or similar to use the sounds inside them. Multisamples mean that each sound is sampled from many parts of the keyboard on the original synth, and they are laid out across the sampler's keyboard so that when you play in octave C0-C1, it will play sample1.wav, from C1-C2, it plays sample2.wav etc.
This is because samples need to stretch in time as you move away from the original sampled tone. One octave higher means twice the frequency, and it will play the sample twice as fast. To defeat this, they multisample from many places on the keyboard.
They are certainly not useless, since they are REAL samples of the real synths, and if the quality is good it will sound exactly like the real synth when you play it.
Then you have the thousands of VSTi synths, that don't use samples but generate the sound internally, like a Virtual analog synth would.
There are lots of emulations of real analog classics like the Minimoog, Moog Modular system, Prophet-5 or CS-80 made by Arturia, native instruments, wayoutware (a perfect ARP2600 remake) and lots more. You just open them and play with your MIDI keyboard that is connected to your computer. If your soundcard doesn't have its own MIDI interface, you will need that too, or you cannot connect the keyboard to your computer at all.