The files are splitted because obviously they were too big.
So get the small freeware program "hj split". Then put all files, which belong to ONE movie, into a separate folder.

Start "hjsplit", choose "Join" and find your folder. When inside the folder, select the first file (.001). Click join. HJsplit then finds the other files which belong to this movie (.002, .003 .004 etc.) and STITCHES them all together until the original movie is reconstructed.

It will be an .wmv-file or .rm or .avi or something like that. Then choose your player and enjoy the movie...

greetz, snack marvin