I had the same problem, but I'm using Mac OS X. I found a small program called Catenator which did the job perfectly. Simply download, then drag all the .001 files onto the Catenator app and it'll merge them into one. I hope that helps anyone on a Mac...sorry I don't have access to help with PCs. ; ;
ofcourse they are seperate, thats why its split in the first place. use winrar to doubleclick any of the separate files and it will see if it can merge them.
Winrar aren't configured to open .001 files by default, so you need to set that up manually.
Just rightclick and 'Open with..', and figure out the rest yourself.
Then just extract them.