Fragmented roms

I'm downloading a copy of Dragonball Z Budokai 3 Greatest Hits and it is in 15 segments of about 100 MB, I was wondering if anyone has ever gotten one of these to work and if so, what did you do and how did you do it?

Are they compressed in .rar or .7z? If they are, use Winrar or 7zip to extract them.

I believe it is in .rar

If it's .rar, just download every piece. After you have all the pieces in a single folder, extract the first piece and it will automatically extract all of the others into the single file.