.rar files differ from .zip files in that you can split the files up as you are no doubt aware.
To join a .rar file together, you simply click on the first file - assuming that all the files are in the same folder/directory.
When you click on the .r01 file for example, the result is the complete archive joined together.
Because of this, clicking on .r02 is not necessary.
So, in summary and to answer your question, part 2, 3, 4 etc. will not open because they are all part of the resulting file created when you click on the .r01 file.
I hope that makes sense and helps you out.
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