how can I combine .rar roms to make it become playable rom??

Hello, I just downloaded Killer Instinct gold rom yesterday from a website but the problem is that file is divided into 4 parts and they are all .rar type file.So my question is how can I combine those 4 files which are in .rar format to become a playable rom.You know a sort of like decompress or compression I guess(I don't know what they are really??).Is there any program that does this kind of things???Where can I download this program??The website that I downloaded these rom from does'nt tell me anything on how to make these .rar files to become a playable rom.Please help me????Thank You!!!

Yes, I do have Winrar installed on my computer but how can I combine those files????It's so confusing.....Please Help me I'm very desperate.Thank You!