* Most files are not split using "HJSplit". If they are, the uploader will usually say so. If this is the case, go to freebyte.com/hjsplit/ and download the free program and follow their easy instructions.
* It is, however, normal for a series to be split using zip, rar or some other format. If this is so then:
i. Download all files, as you have so far been doing
ii. Download and install 7-zip at 7-zip.org (free program)
iii. Right-click on file #1 of the file series you want to unpack
iv. You will see several options. You want to highlight the 7-zip option.
v. You will then see several more sub-options. You want to select "extract here".
vi. The files will then consolidate into one file, which will be the decompressed original. If it gives you another compressed file, simply repeat the previous directions from i - v with the new file.
* However, and as you have apparently purchased a Premium account on Hotfile, the easiest way to download and consolidate files from Hotfile (and other sites) is to use JDownloader, which is available free of charge at jdownloader.org/
JDownloader will automatically recognise any links you highlight on your PC/the Internet, and can be set up for premium and non-premium accounts. It will do all of the work for you while you are away from your PC, and will also consolidate files through it's own 7-Zip add on. It also has an interface for Firefox and some other tricks.
It is incredibly easy. Good luck!