HjSplit does not affect the file's format, but only splits it into chunks, and numbers the chunks by adding .001, .002, .003 to each chunk's extension.
Since the file you're trying to play has been sent to you from another computer, I would suspect that the codec needed to play the file is not installed on your computer.
try a media player like VLC, which will handle most formats.
from
www.videolan.org/vlc/
or a codec pack such as K-Lite