That is not true, windows lets to anybody change extensions (rename file), only needs to do known files's types visible, this's the way :
You have to delete the .rar ending at the end of the filename of each part. Just rename them and delete the .rar and replace it for .exe. If it isn't showing up, look up at the top of your screen. Click "Tools", then "Folder Options" Under "View," UNCHECK the box that says "Hide Extensions from Known File Types". You should then be able to see the .rar, rename the file, delete it and replace for .exe.