Right-click on Part 1 and select "Extract Here" using a program like WinRAR or 7-Zip . It will automatically pull data from part3 and the others to create a single ISO file or folder.
If an ISO is produced, mount it to a virtual drive. Run setup.exe to install. Beyond.a.Steel.Sky.v1.5.29158-PLAZA.part3.rar
v1.5.29158 – Includes various performance updates and bug fixes released after the initial launch. Right-click on Part 1 and select "Extract Here"
Beyond a Steel Sky – The 3D sequel to the cult classic Beneath a Steel Sky , featuring a story-driven mystery in the dystopian city of Union City. Beyond.a.Steel.Sky.v1.5.29158-PLAZA.part3.rar
Ensure you have downloaded every volume of the set (typically part1 through however many were uploaded).