We would need to know what's the actual extension of the file to properly give you advice.
My best guess is that you downloaded files that have been binary split with extension 001, 002 and so on. To join them, you need a software like hjsplit or ffsj or you could simply open a command line window, navigate to the folder where your files are(by using cd and typing the full path) and type this:
Code:
COPY /B /V Name_of_your_file_with_the_first_number_of_the_extension??
New_name_of_the_files.extention_of_video
For example
Code:
COPY /B /V DVDES-123.0?? DVDES-123.avi
I prefer that method since you can verify if the files were joined properly which most app skip because it takes longer and they can't claim they're the fastest, but it might be a bit complicated for someone who never used command line.