Just put the 4 rar/zip files in the same folder and use either winrar or 7zip to unpack Part 1, it should normally detect the other parts since it's a slit archive and unpack them all together
It's been a while since I've downloaded the multi-part archive, so someone more up-to-date can feel free to correct me if I'm wrong, but if I recall correctly from the past, doing this is exactly what causes some people to get inexplicable errors & loading hangups intermittently through the game, because the archive is actually
not a proper multi-part archive; it's actually the game packaged into multiple individual folders instead of a part1, part2, etc that auto-unpacks collectively with 7zip. Again, it's been a while since I've done the whole all-parts download, so my knowledge might be out of date, but that's how it was when the download started growing past just 2 parts.
IIRC, what you actually want to do is download all the parts, extract
each part into its
own individual folder, then copy+paste the contents from each installment into the "main", part 1 folder, overwriting any files when you copy over. That's how it was when the download became three parts, and eventually four; if the packager or uploader has gotten smarter since then and changed up how it works, all the better, but from the past couple years or so, people not unpacking the game this way has accounted for a good 80 to 90 percent of the hangups & complaints & "what's wrong with the game" posts this thread has gotten and will continue to get. Indeed, if the multi-pack is still this way, this bit of info or a full slate of instructions of how to correctly unpack & install the game not getting added prominently to the OP has been a source of constant aggravation for the people that follow this thread.