nzb is a file-format used to wh0re files from Usenet.
How it works
.nzb are small files who decribe content which is available in newsgroups on Usenet. Get hold of a .nzb file and open it in your favorite Usenet client - and it magically downloads the content described in the .nzb file. It's that simple.
These programs can open .nzb files:
The problem with this file format..
..is that most ISPs do not provide the alt.binaries.* groups. Thus; you need access to a news-service which does. UseNext is one of the Usenet services which requires you to pay. You can try it out for free and download 3 GB, but you have to pay if you want to use it on a regular basis.
You can get most of the stuff on Usenet on any other local friendly p2p service. The only reason to pay for Usenet is that you usually get your max download speed from the pay-only services, and you do not risk MPAA/RIAA/other evil getting hold of your IP when using services such as UseNext.