As you probably understand, they are four separate cds.
With that in mind,
Disc 1 is in rar format. Unrar it, and burn it.
Disc 2 in in (ace/zip/gzip/tar/??). Un(etc.) it, and burn it.
Disc 3, repeat.
Disc 4 is the same as disc 1.
Again, keep in mind these four discs are like four separate Saturn games. One of them being unrar'd isn't contingent upon the other.
It occurred to me that the person who made the rar files made have rar'd two discs together. In that case, it's stupid. But, unrar, and see what kind of libraries it's storing (cue/bin, iso+mp3, nrg, ccd, etc. etc.).
Providing any and all information in the future would be helpful, i.e., names of the files, where you got it from (possibly), etc. The more the information, the more help you get.
I encountered the same thing...and I did it the intuitive way and renamed pdsaga2.r000 to pdsaga2.rar - then pdsaga2.r001 to pdsaga2.r00, pdsaga2.r002 to pdsaga2.r01 and so on. You see the pattern here. Same goes for Disc 3... Apparently all these files are rar files just like discs 1 and 4 but someone thought it would be funny to change the file extensions for no good reason. But I successfully extracted discs 2 and 3 as rar archives so I know this is how to solve this problem.
I ended up renaming all of them. I changed .001 to .rar, .002 to .r00, .003 to .r01, and so on. It worked. Looks like the names did get changed. Disks two and thre work fine now. Thanks for the advise Taelon.