1 - First things first, make sure all the parts of your multivolume archive are all saved in the same directory:
2 - Right-click the first RAR file and then click on "Extract files..." from the context menu:
3 - Choose where you want to extract the contents to (I've entered a new folder called "Blah Blah Blah" under the folder containing the downloaded RARs, but it can be wherever you want). When you're happy, click the OK button to start the extraction:
4 - After the extraction process, check your destination to find your extracted files. Here's my new folder, "Blah Blah Blah":
5 - And here's the contents:
6 - And if you're worried or just want to reassure yourself, just open your RAR files and compare them to your extracted files:
That's the way I do it anyways, and it's worked fine for me so far! *crosses fingers*
Hope that's helped you out - just shout if you've got any questions.
EDIT: Almost forgot - If there's a problem WinRAR will throw up an error window during the extraction process. Usually it'll be one of three reasons:
i) If you're missing one of the RAR files (in this case, 'Part 2'):
...then you'll get an error message saying "Next Volume Is Required":
If this happens you can locate it using the "Browse" button to continue extraction.
ii) If just one of the files is named incorrectly:
...then you'll get the same error message as i) above - locate it the same way to continue extraction.
iii) If for some reason one of the RAR files has downloaded badly or is corrupt, you'll get an error telling you so. If you've checked for missing and incorrectly named files and can't find any, then check the file sizes are as they should be - if one part is a smaller size than it should be, download it once more and try extraction again.
Passwords:
Oh, and if the RAR file is passworded then WinRAR'll ask you automatically for the password. If you get an error message relating to the password during/after extraction, copy and paste the password, but make sure to check for any extra spaces you may have inadvertently copied along with the password.
Phew - sorry for going on so long, I wanted to cover all possibilities in case you encounter any problems! Best of luck.