You usually either received such files 1) to get around the typical 10Mb attachment limit per email for example or 2) from some file sharing site (e.g. filesmonster.com) that uses the multiple files in order to inconvenience you so that you will pay for the premium membership. Note that version 2.4 has a small bug in that it can not recognised special character set such as Japanese characters contained in the folder name.
How to unpack .z01, .z02, .z03 etc files?
Typically there will be a .zip file that comes with the .z01, .z02 files and so on, you need to download the .zip file in order to reassemble all the zip files into one. When you open the *.zip the others files are unziped as well as long as they are in the same directory. Any unzipping program such as the free 7-Zip or WinRAR will do the job in unzipping. WinRAR/7-zip will automatically merge the parts automatically and will display the contents of the overall archive.
How to join .001, .002, .003 etc files?
Use a program that able to join the various file into one, the one that is free that I used is HJ-Split by www.freebyte.com.
Download it here.