1. Download and install winrar from [Only Registered users can see links . Click Here To Register...]
2. Place all parts into the same folder on your hard drive
3. Right-click the first part and choose 'Extract to here'.
4. Winrar will open and extract/join the files into one file.
5. You should see your ISO/CSO file, copy it to the ISO folder on your memory stick.

If this is your first time playing an ISO on your memory stick you might need to make the folder yourself.
Open the drive letter your computer gives your PSP Memory stick. (like E:\)
Make a new folder called ISO in the same folder as PSP and MP_ROOT folders your memory stick should already have.

Note: ISO files may look like another winrar file. you can tell if its an ISO when you double click it.
If winrar opens and you see a file and a folder (PSP_GAME and UMD_DATA.BIN) then its an ISO file.