First rar file then > extract remembering to check the “keep broken file” tab
>then play the file.
Here is a guide how to do it.
Also, the Dziobas Rar Player
It can be used to play that first compressed rar file of a set. I use it frequently and it has saved me a great deal of download time. And, VLC player will play a rar file if it contains the complete archive, like a CD in one rar. (just throwing that in there to be thorough – that’s all I know about playing rar files.)