When hj-split is used to break up a large file, the resultant files are suffixed with .001, .002 etc. You now need to use the same program to rejoin the pieces.
First make sure you have all the necessary pieces and that they're in the same folder then click Join. In the pop-up window click Input File and then browse your folders for the the split files. The program only recognizes .001 files, all others are hidden.
Once located, double-click the .001 file. It will appear in the input field. The program's default setting assigns the same directory to the output (i.e. the rejoined file) but this can easily be changed. Then click Start (sorry....duh!) and you're done.