You shouldn't use HJSplit on the files AFAIK. Open the 001 directly in
7zip (Shift+Click -> Open with...). It should recognize the file as the first volume of a multi-part 7z archive and open it and all following files in a single go.
HJSplit simply takes a large file and divides it to smaller ones without modifying the contents. When joining it simply appends all files to one single file without modification. These files (*.7z.nnn) are not simple fragments - each one contains a full 7zip header and concatenating them results in a mangled archive.
EDIT: You might want to check the exact size of all archives (Right Click -> Properties...). 001-029' size should be exactly 104,857,600 bytes, and the last part should be 88,947,674 bytes. If any of the files deviate from these numbers it's corrupt and should be downloaded again.
EDIT II: You can also use JDownloader to download the files. Simply copy the links to the clipboard and let JDownloader grab them. It should extract the movie automatically when the download completes and delete the archives.