When you open the folder you will see a lot of these things. do NOT let them scare you.
BUT, Do NOT click on them either! That is NOT how to open them!!!

To open them Click on THIS

You will get this Click on JOIN

Click INPUT FILE and navigate to the folder with the file in it. (It will only show the very First file in the set) Select and click OPEN

The output file will be filled in. If you want it to go else where change it OR better yet wait and move it afterwards.

Click START and wait.
Then Close this and watch or burn your Movie!
You may now delete all of these files. Except of course the actual movie you are wanting to watch .