Using zcat in windows
If you've got the minwg or cygnus environment installed, you could run cat FILE.xml.part1.gz File.xml.part2.gz > File.xml.gz, and then run that file through WinZip or WinRAR.
I think I've heard of the hjsplit tool for Windows to split and re-assemble split files. You could use hjsplit, if I'm correct on the tool :), to join the gzipped files and then uncompress the combined file.