Need next volume to extract?????

Hey every1, My mate d/l X2 The Threat for back up resons (cough's). It came as a Zip file and he opened it up. Now there are loads of winrar files and then he opened one of them then to a .cue file which he needed to extract so he could backup/install. But this message com up 'You need to hav the following volume to back up C:\Documents and Settings\\\Temp\CD1.r12' He worked his way back through the number but they all said the same. Now my mates has done this 'backing' up of games many times before but this has never happened to him please can u help as he would really like to backup/play this game
 
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