Winrar help.

Ok, Im having a bit of a dilema with Winrar at the moment. I had to put cubase on 3 CD's to give to someone ( DVD burner still hasnt come !!! ) and everything seemed to work fine. I told them to put the three Winrar files into the same folder and extract one of them. As usual, one file comes up. I then tell them to go and drag this to desktop, they do, but after around 38% ( after one of the files is finished I pressume ) it says the next Volume is required, and that you need to Insert the disc that goes with this volume and press OK. I got them to try every CD but none worked.

Anyone know what to do ?

Did he have them all put into the same folder, or did he just make shortcuts or something?

One way I've seen how to get it to work using Winrar is to open on of them for viewing, then hit the .. to go into the directory all three are stored in, then extracting the first one.