Rhinosaur is right about this.
Regardless of whether the files you've dl'd are in winrar or mastersplitter format, you can view the first file easily. In winrar, when you right click on the "part01.rar" file, click next on the "extract here" option. That will produce a small progress/dialog box with a four-button option on the bottom: "Background", "Pause", "Cancel", or "Help". You can click on "Pause" at any time and view whatever has been joined to that point or, if you're only extracting the "part01.rar" file, as much as has been extracted to that point.
If it's an .avi file you can generally pause the playback and resume freely as well as step-advance the vid, speed it up or slow it down, etc. depending on which media player you're using (Crystal, MPC, VLC).
It it's an wmv or mpeg format, there's probably less flexibility in what you can do when playing back the partially-extracted file. But in any case, it's all to the good that you can d'l and view just one or a few files of a multi-part post to see if you like it without committing to the whole thing.
My experience is you should have all three players for the maximum flexibility. Crystal is my favorite but VLC, being open source, is the best for playing back incomplete or, even, damaged files. Many a time, it's been the only one I can get to open and play a file.