You need every subsequent part (part2, part3...) in the same folder.
If it asks for one, the "puzzle" has truly begun. Check the source where you found the link—often the password is the URL of the website or a specific username. Puzzle.part1.rar
Right-click part1.rar using WinRAR or 7-Zip and select "Extract Here." You need every subsequent part (part2, part3