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Setting up UE4 for game development requires a few steps. If you want to just use Blueprint, UE's own scripting system, to design your game you just need to download Epic Launcher and the Unreal Engine. If you're using C++, however, it's recommended to download the source from Unreal Engine's GitHub. The setup can take some time depending on your PC's specifications, and if you want to develop a cross-platform game, you'll need to set up the engine for each additional platform (other than PC) you want to support. This includes installing the SDK and any other tools required to run the game on the target platform.
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By comparison, Unity offers a much simpler setup. You can install the engine from Unity Hub, choose the engine's version you want to use, and simply select the target platforms for your game. All the SDKs and other tools required to build for those platforms will be automatically downloaded by the Hub.
Both game engines support plugins and feature easy plugin setup. For Unity, just open the Asset Store from the Unity Editor, then download and import any plugins you need. If you're getting a plugin from the GitHub repo, you need to copy the SDK folder to your Assets folder. The same method applies for UE4.
One of the causes of the WinRAR checksum issue is an interrupted or incomplete download operation. As a result, redownloading the RAR archive may be worthwhile to try in order to eliminate this problem. It is recommended that you save the file to a different location than the one where you first saved it.
Jokes aside, when did this start? Which corner of the screen is it? If it's the lower right corner, did you download any software recently that appear beside the program menus besides the sound control, etc?