Making the avi from separate files

[cast]

Being a newbie to this, I have only successfully downloaded once.
This time the download came in form of different files or pages and not as an avi which i could convert to viewing.
Is there any way I can knit them altogether and make the movie I wanted to download? I have an imac and the download came in form of a file with the usual blue apple mac icon, previously it was the avi icon that came down and was easy to translate to a viewable form through vlc . look forward to hearing any ideas but maybe i havent expressed the problem properly

[Weaselboy]

What is the file extension of the files you downloaded?

[livings124]

This is unrelated to Transmission.