Here is your troubleshooting checklist:
It sounds obvious, but many download managers skip the last file. Go back to your source and ensure part35 was included. Often, part35 is the smallest file (the "footer" of the archive).
The Final Piece: What to Do When You Find “GameFiles.part35.rar” for Your Need for Speed Run
This is the #1 mistake. If your files are named File.part35.rar but the archive expects File.r35 , rename them. However, most modern rips use the standard .part##.rar syntax.