No, you do not have to use HJSplit if they have the .00# extension. Just use the program they were made with, WinRAR for RAR files and 7zip for .7z files. The program will auto detect a split archive and put together the pieces. From my experience WinRAR has problems with multipart 7z archives but handles single ones just fine so for multipart 7z archives use the real 7zip program. If its a multipart zip archive (wich also uses the .00# file names) then i think either WinRAR or 7zip will work just fine.
For an alternative to WinRAR and 7zip try
IZArc - The Ultimate Archive Utility