burning a movie

hi i downloaded a movie and it has two folders 1 that says CD 1 and another folder that says CD 2 when i click on cd 1 it has a whole bunch of little files in it same with CD 2 when im burning this with nero everything works but when it starts the burning process it doesnt budge it stays at 0 and doesnt go up whats the problem can u please help id really appreciate it

 

you most likely need winRAR to combine all those files into an image format you can then burn

 

okay ill try that thanks

 

i have downloaded winrar but how do i put all the little file together as 1 image file

 

what are the extentions of the files