When you view newsgroups with Free Agent, the window should look something like this:

One way to combine and decode a multiple part message is to:

1.  Make sure all the parts are there and in order.
2.  Select the first part of the message (click on it).
3.  Hold down the SHIFT key and select the last part of the message.
4.  Press ENTER to begin downloading all the parts.
5.  When all the parts have been downloaded, click on FILE.
6.  Click on DECODE BINARY ATTACHMENTS.
7.  Then you can click on ENTER to view the movie.
8.  A copy of the decoded movie file has also been placed in the AGENT folder.

You can easily view the movie with Windows Explorer.  I should look something like this: