No you don't have to, simply extracting from Part 1 with the Latest 7-Zip should work as it will put everything together. I say the latest because I used LZMA2 Compression method which isn't on the older versions, so yeah, all I can say is try to install the latest 7Z, if it still doesn't work try to check if not any of them part were corrupted, if needed I can provide the MD5 for every file.