Trouble opening a downloaded zip file

I have downloaded a group of exercise files from a training site. They are broken into three zip files with extensions .z01, .z02, and .z03. I have win rar and win zip but neither will open these files. I tried starting with the last one, that did not work. Any suggestions?
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You'd want to start with the first one - this is a weird naming scheme, though.  Are you sure there's not also a .zip and a .z00?  

Definitely try starting from .z01, though.
What sort of message do you get when trying to extract?
Some of the programs do not intuit the compression method unless the extension is proper.  The numbering schema may have been based on chaning the extension to bypass filters which do not allow moving ZIP files through firewalls.
lauramooreAuthor Commented:
When I use WinRar to try and open. I can see the folders within the zip, but when i try to extract I get an error saying the archive is either an unknown format or is damaged. (i tried to redownload when i first recieved this message, no good).
WinZip says that it is not a valid format and suggests that I try downloading it again. I have never had any trouble downloading files from this site, but they have always had the usual .zip extension. This is the first time I have ever seen this kind of file from them.
Hi lauramoore,

You also need the main header zip (a file with a .zip extension). This file specifies the location, order and number of parts (z01, z02, z03 etc.). Please search for this file on the download site. Once you have this file, put all four files in the same directory and ask winzip to open the zip file. The zip file will then instruct winzip to search for three more files (z01, z02, z03) in the same directory and integrate them into one big zip file. After this, you'll have a "normal" zip file which you can open with winzip easily whose content includes all the part zips.

Hope I helped,

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