You must have every single part in the sequence (e.g., if there are 50 parts, you need 01 through 50) saved in the same folder.
In many enthusiast circles, "LH4K" refers to high-bitrate, 4K resolution versions of The Lord of the Rings (often the "Leh" or high-quality fan encodes). How to Open and Extract These Files
Below is an article explaining what these files are, how they work, and how to handle them. Understanding Multi-Part RAR Archives: The Case of LH4K