If I recall correctly, the way to do this with OE is to highlight each numbered section of the desired file by left-clicking while holding down the Ctrl key. Then right-click on the highlighted files, and choose "Combine and Decode" from the right-click menu. You should be given a chance to choose the decoding order, so that each segment can be combined in the correct sequence (1/3, 2/3, 3/3 ... for example). Afterwards, a new window should open. Select "Save Attachments" from the File menu in the new window, and choose where you wish to save the combined attachment.
If you'd rather not use OE, search around for newsgroup readers on <A HREF="http://www.google.com/search?num=100&hl=en&ie=UTF-8&as_..." target="_new">Google</A>. Some are free, although most of the better programs are shareware. The same thing goes for some of the more useful newgroups; many require a subscription fee.