hate closet gays.

Gee thanks for reply. Btw not same with that anon below

Once you extract it and get the two files *.mkv.001 and *.mkv.002

You can use 7zip to join the parts, right click on the *.mkv.001 part and go to the 7zip sub menu and select either extract here or extract files, or extract to...
Once it finishes you should be able to play the complete file.

Another method is to download the program hjsplit @ http://www.hjsplit.org/
Run hjsplit.exe
Choose Join
Click on Input file
Go to the proper file destination (such as your downloads folder, if you're not already there)
Now there should only be one file to choose from (or other folders)
Named [Watakushi-Nameless] Witch Craft Works - 06 [720p][39ADE744].mkv.001 or similar file ending in .mkv.001
Click Open.
Now the pop-up menu should display the input file and the output file(and you will see that it ends with .mkv not .mkv.001 or anything else)
Click start.
Once it finishes (and it will tell you), you should have the complete file. Huzzah!
Now you can play the video.

If that doesn't come clear, here is a youtube clip: http://www.youtube.com/watch?v=CrCurzfT4IM

Another program that will get the job done is filejoiner @ http://www.igorware.com/file-joiner
This will feature similar steps.

Lastly there is another options, if you're up to the task.
open up the command prompt (win+R then type cmd.exe)
move to the directory containing the split files (use cd) - or move the files to the user root folder.
then type
COPY /B <source file1>+<source file2>+<source file3>+.... <destination file>
where <source file1> is .mkv.001  and <source file2> is .002 and so on. and <destination file> is the file ending in .mkv.
This is easier done if you rename the parts before hand to avoid unnecessarily typing/mistakes. do A.mkv.001 B.mkv.002 ....

After executing the command windows should give you the complete file with no issues during opening/playback.

For linux:

cat file1 file2 > file3