I have just donloaded an Xbox DVD game from an FTP server, the files have the extensions .001, .002, .003 etc. How do I burn these files to make the game? What files are they and what program do I need?

At first I thought they were .rar files but they aren't.

They are RAR files. Open 001 with WinRAR and it will extract from all the other archives. This will probably give you an ISO which you can burn with just about anything.