When you download like this kind of file, see below:

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You need to use this software to combine all the file, download link below;1) Open HJsplit then click " Join ", the software should looks like below;
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2) Click " Input File ", see below; 
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3) Pick the file that need to be Join, please make sure that all the file is in the same folder, see below;
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4) Click " Start ", see below;
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5) After that it will show like below;
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6) Enjoy!!