To understand what NZB files are, you need to understand a little about how files are stored on Usenet. Most news servers limit the size of the files that are saved to them. For text files, this is not usually a problem since they are small and may be stored as a single file. The problem arises with files such as mp3s, jpegs, videos, etc., which are referred to as binary files. Because of the large sizes of these files, they must be broken into smaller files to be saved to Usenet, but this makes finding all of the pieces of a large file more difficult and time-consuming, and increases the chances that a missing file piece will prevent the assembly of a working file. This is where NZB files come in.
NZB files were named for their creator, NewzBin.com. NZB files use an XML-based file format for retrieving newsgroup files that combines the thread location of all parts of a file into a single archive. Each Usenet message has a unique identifier called the "Message ID". The NZB looks for the specific message IDs for the smaller parts. The NZB is opened with a Usenet binary grabber, which downloads each part. The parts are then extracted and merged back into one large file. This saves the user the time and effort of having to search and retrieve each of these parts on their own. With this method, headers are not downloaded, so the NZB method is quicker and more bandwidth-efficient than traditional methods.
As helpful as NZB files are, they do have some flaws. The first flaw is that they can become "stale" or out of date. Many news servers may not store files for as long as the NZB site stores the pointers to them. Another flaw of NZBs is human error. NZB files are created by editors (usually volunteers) and are prone to human error. In many cases, an NZB file will not appear until days after the files are posted. To guarantee that you do not miss anything, you should access the appropriate newsgroup directly. Last, legal issues can cause files to go missing. If parts of a file are stored on a server in an area where the content is illegal, it is possible that the file could be deleted. But since Usenet is global, the actual file has propagated to hundreds of news servers around the world, and is probably sitting right there on your own newsgroup's server.
With the advent of larger and more complex files, NZB files have made downloading the original file in its entirety much easier and less time consuming. Nevertheless, as a user, you must remember that no system is perfect.