You need to combine them.

This is what happens on my machine;

If I download a file called, for example, greatfacial.wmv.001, it's automatically renamed greatfacial.wmv.mpeg - which is obviously wrong. Just make sure you rename it when you get the download requester and that'll make it a lot easier to keep track of the different segments.

When you've got them all downloaded (.001, 002, 003 etc.) you need to combine them with either HJSplit or another program I use called 7Zip. Load up the first numbered file and 'extract' it, you should get a single file called greatfacial.wmv (or whatever it was called).

The system would work a lot better if the forum didn't rename the segments to .mpeg as I mentioned above, no such wonder so many people seem to have problems downloading split files...