You can use 7-Zip
1. Download 7-Zip and launch 7z457.exe to install the program
2. Next, browse to your file ending with the .001 extension
3. Right click the file and choose 7-Zip > Extract Here
4. The files should now be joined and have been extracted to the same directory that contains the .001-.009 parts.
If the program was originally an ISO, you may *** up with a .bin file and a .cue file, you can then create a CD/DVD from the .bin file using your favorite CD/DVD creation software.