There are actually several formats that are used to make up multi-part archives.
One version uses file extensions .r00, .r01, and so on; this indicates RAR archives, and there will also be a .rar file. This is the "master" file, which includes file header information. If you download all parts and tell your de-archiving program (such as WinRAR or WinAce) to extract from this file, it will automatically traverse all the files. There's also the .part01.rar, .part02.rar, and so on format; point at the .part01.rar file to begin de-archiving.
Another version uses .z01, .z02, and so on; this indicates ZIP archives, and there will also be a .zip file. Again, this is the "master" file, and you should direct your de-archiving program to start there; it will traverse the other files.
Some files are just split into chunks without any archive headers. Extensions of the sort .001, .002, and so on are (usually) created by HJSplit, and can be rejoined by the same program; point it at the .001 extension and it will traverse all the other files. (Alternatively you can rejoin them using binary append operations, such as copy /b in Windows.)