The file names must be identical except for the numbers.

Ensure every numbered file is in one location. Use the right software: Use 7-Zip (Windows) or Keka (Mac). Open the first file: Right-click only the .001 file.

If you'd like to troubleshoot a specific error or find the right software for your device: Your (Windows, Mac, Android, etc.) Any error messages you're seeing

A file ending in is the first part of a "split" compressed archive.

The you have (e.g., do you have .002?)