file .001,.002,etc...

hello,i have a quetion regarding how to play a .001 file.my friend downloaded a movie in two part,the first part comes in a playable file,but the second part is a .001 file,which cannot be extracted,or played by any player.how do we solve this?is there any special player to play this type of file?can you tell us where to get it?or do we need to convert it first?is that so,how?please help!

You need to download hj split and join the files into one file.

The program is really simple to use here's a download link: HJ Split