What you were doing is extracting a split-archive, usuallly done in chunks of say 700 MB (note: this can be any size), to fit on a CD. In order to extract it, you'll need all of the parts...
With your problem, it was asking for the second part...so as he said, find it! If it's something you downloaded, check the site. If it was from a CD, check it out. Ask whomever gave it to you...!