As explained in the Parity Files - PAR2 section, the huge files you download are broken off to smaller pieces across Usenet. To get the whole picture, you have to hunt down each and every one of the files that are used to compose the bigger file you're downloading. To make life a bit easier, some smart people came up with NZB files. These files contain the location of every part of your download, so your client knows where to find the different pieces.