When you say psx, I take it you're referring to Playstation 1?
Too many parts? For ISO files, they usually come in one file. There are other types of image files that may come in more files.
If you downloaded these files, it may have been archived in RAR format, which would explain the many parts. If you see files that end in .rar, .r01, .r02, etc., you will need a program called WinRAR to "unzip" it. After that, in order to burn the ISO file, you will either need a program like Alcohol 120, or Nero, as those are capable of opening and burning ISO files.
However, burning the ISO to a disc by no means guarantees that it will work on your PSX, as there are many other things involved in that, including your PSX's ability to play copied discs, the files on the discs working properly, the correct type of discs that is readable by the PSX, and more.
Good luck, hoped this answered some of your quesitons.