Extracting Multi-parts using WinRar

Does anyone know how to combine the multi-parts of a game?~~~~I'm having trouble combining the parts, i search everywhere website about combining parts, but i still don't get it....
~~~~I do follow their instruction and I'm using the latest version of WinRar, but it failed....
~~~~I'm dying to play Final Fantasy IX :'(

What is the extension of each part?
Does it .001/.002 or .rar?

make sure the parts are in the same folder and label with the same name with different part numbers like "blah.part.1.rar" and "blah.part.2.rar"