If Firefox wants to know what to do with the file then you are trying to open the file with Firefox. Open an instance of VLC and drag one of the files there to see if it plays. It may or may not play in part depending on whether the archive is compressed or not.

WinRar or 7zip should be able to extract the original file from these archives (assuming you have a PC). Make sure you have one of those programs installed, then right click the .001 file and extract to the location of your choice. You should end up with a single file.