: Ensure you have all the numbered parts in the same folder (e.g., .001 through wherever the sequence ends).
For this to work, you must have of the archive in the same folder. They usually look like this: Grand Theft Auto V.7z.001 Grand Theft Auto V.7z.002 Grand Theft Auto V.7z.003 (The file you have) ...and so on. Grand Theft Auto V.7z.003