NZB is an XML file format
An NZB file is a file containing information where a certain download is from Niewsgroepen. For example, you are looking for blogging software: WordPress. If you have a wordpress nzb file then it says what messages you need to download to download the software package. You can import an NZB file into most newsgroups readers. The file itself is an XML-sourced file in which the newsgroup is listed, and what bits of it should be downloaded to reach a full file. The name itself derives from the fact that Newzbin.com started with it.