How to extract .001 files?

Sometimes you will see files with the following filenames: name.001, name.002, name.003 etc, which I will call 001 files. In this howto (tutorial) you will learn how to extract these files. Extracting isn't the right name though: normally these files are not compressed like RAR files, but just split by a file splitter, without compression. Joining would be a better term for what we are about to do.
In this tutorial we will try to join the test.mp3 file that I made. As you can see in the image below this file is split into eight pieces that we have to join before we can listen to the test.mp3 file.

We can do this with three different programs:7-Zip and HJSplit. It is up to you to choose which program you would like to use for this task: 7-Zip or HJSplit. Because many people have WinRAR installed on their PC, I will explain that program first. WinRAR isn't the best fit for this task though, so if you currently do not use WinRAR, just skip the next part and use 7-Zip. Only try HJSplit if both WinRAR and 7-Zip fail!