Extract the ".rar" file with winrar. It'll automatically process the other archives numbered R01, R02, R03, R03 & so on & so forth.
Do not extract one of the numbered archives, as these only register the file that is contained within that particular archive. You need the ".RAR" file which has the entire filelist.
There is likely only one image file (and associated cue sheet), which has been split.
Once your image has been extracted, you can burn it to cd, or mount it with a virtual drive to ensure it's integrity.
Unless someone states they have downloaded illegal contant from the internet, you have to give people the beneift of the doubt.