That’s just because it’s a DVD file (and standard definition).
Just right click the folder with all the files in it (probably a VIDEO_TS folder) and play with VLC. It’ll play as one full length movie.
Is there any way I can save it as one whole movie?
It is one whole movie. Don’t click the individual VOB files, but run the DVD as I said.
What, specifically, do you want to do? Make it into an MKV file? Use the program “Make MKV” for that.