If you are looking for a way to convert multi volume archives to a single self-extracting archive (like RAR), you first need to gather all the pieces (.r00, .r01, etc) and decompress them and then compress the data back and select the SFX compression option which will create an .exe file with your compressed archive.
Convert Split Multi-volume RAR compressed file archive (part 22) to Self-extracting compressed file archive.
We have found one software suitable in our database for this conversion.
Microsoft Windows software - convert r20 to exe on Windows
One of the oldest and most popular shareware file archiver and data compression utility
Convert from r20 file format
The table with program actions contains information about what each program is capable of doing with their files. This may be a good pointer for further searches for certain file conversions and help you find the converter you are looking for if our search result is insufficient for you. However, it is far from perfect and may sometimes show results which are not really usable because of the nature of the software handles the files. So a conversion that appears as possible, just because of matched actions, may in fact not be possible.