If you are looking for a way to create a self-extracting compressed archive from a split source (like multi volume RAR, 001, 002 etc.), you will need to first gather all the segments (pieces) of the split archive, merge them and then convert the archive (.rar) to executable self-extracting one (.exe) via create SFX archive function.
Convert Compressed file from a multi-volume archive (part 3) to Self-extracting compressed file archive.
We found 2 software records in the database related to .003 to .exe file format conversion.
Microsoft Windows software - convert 003 to exe on Windows
One of the oldest and most popular shareware file archiver and data compression utility
Convert from 003 file format
The tables with software actions are a good pointer for what a certain program does with various file types and often may give users a good hint how to perform certain file conversion, for example the above-mentioned 003 to exe. However, it is not perfect and sometimes can show results which are not really usable because of how certain programs work with files and the possible conversion is thus actually not possible at all.
Popular open source file archiver with a high compression ratio