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They all don't have the same file. They all have *FRAGMENTS* of the same file. It takes all of files you have downloaded to complete one .CDI file. If you took the time to watch WinRAR (or WinACE, perhaps) while it uncompresses the file(s), you'd notice it starts with the first one (.001) and then it goes to .002, .003, .004, etc...
It's not that each file has the same data, but rather that each file has a little piece of the whole file. It takes them all to recreate the file, but you only have to start WinRAR with the first one. It's smart enough (unlike some here) to figure out that it should go to the next file, and so on, until all the file is extracted.
If you've already extracted the file once, this is a moot point, as you've already got a usable .CDI.
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