With a program like Winrar or 7-zip. Then you can extract the video file(s) from the archive.
Actually I wonder how it was done (split before archiving or not). uzzled:
Download all files, then split and join all the files with the same name and diferent ext. 001.001 - 001.002 - 001-003 - 001.004. When all files are join in 001 you can open that file with winrar and extract all videos