First you need to creat a directory name on the movie.. so download all the kk parts into the directory.. make sure all the parts are in kk0 kk1 kk2...like..
remember if you miss any one it will not join.. so make sure you have all the parts before you build it..
then open the kfk software.. the look for rebuild in left side.. just click on that and select the source - where is the movie you downloaded. and destination.. where it is going to save.. then simply click on rebuild.. so your movie in your directory..