I dont know how everyone else does it - there are lots of tools for combining a split file. It isn't like a .RAR, it's just one file split into pieces without any addiitional compression or formatting. If you're using Windows, the old DOS 'copy' command works. For example, here's what I do:
Start-Run and type 'cmd' in the box to get a command prompt
> cd Downloads (this only works if you're downloading into your Downloads folder)
> copy/b SBN-16.wmv.001 + SBN-16.wmv.002 + SBN-16.wmv.003 SBN-16.wmv
This combines the 3 files into the new file SBN-16.wmv