Usually Movies (Videos files) have huge sizes, so these are first splitted/divided into small chunks such as .avi.001, .avi.002, avi.00.... or .mkv.001,.mkv.002, .mkv.00.... before uploading online on a Website.
There are two methods by which you can combine or join or merge these chunks into a single file:
First method: there are software such as HJSplit (from http://www.freebyte.net/download/hjsplit.zip), that can be used for splitting and merging.
Second Method: if you are having Windows operating system, you can follow following simple steps to get the single file:
1. First, ensure that you are having all the chunk files in a single folder.
2. Open Command Prompt and navigate to the above folder using "cd" command.
3. type following command:
copy /b moviename.mkv.001+moviename.mkv.002+...moviename.mkv.00N moviename.mkv
[where moviename.mkv.00N is the last chunk file]
4. Wait for few minutes till it gives: "file(s) were copied successfully" message.