First we’ll look at a program called HJSplit. This is a great bit of Freeware and can be used on the Windows, Linux, MAC ,BSD, Java, PHP, Amiga, Windows 3.x, DOS, OS/2 platforms.
If you have downloaded these types of files, they may look similar to the image below. So lets get them joined so you can start to watch your file.

Once you have downloaded HJSplit, open it up and you will see the first window:

Now just click on ‘Join’ and you will get the next window:

Click ‘Input File’ and navigate to the folder where the split files are:

Click to highlight the file (note you will only see the first file which will end in 001) and then click ‘Open’ which will bring you back to the joining screen

As you can see, it will automatically place the soon to be joined files into the same folder, but you can change the output location if you wish. Now just press ‘Start’ and it will join all the files together

Once it’s finished you will see the following screen

That’s it.
Next we will look at how to do this using 7Zip
This is another fantastic piece of freeware that I would definitely advise you having for all your zipping/ joining and file (not system) encryption needs. The compression methods of this program are also a lot better that most, if not all of the paid for ones out there as well. First, go to their site and download the program. Once you have done that, you will notice that it has been added to your right click context menu. Now, go to the folder where your split 001, 002, 003 etc files are located. Now just right click on the ’001′ file as seen below and go 7-zip>Extract Here

The program will automatically place the joined file in the same location. Whilst the program is joining the files, you will see the following window:

Once it has finished your newly joined file will be there, ready to play. You will know that the operation has finished by the window above closing

That’s it, you’re done!
I was using Window 7 Ultimate x64 in both of these examples for those interested.
I hope this has been of use to you.