You must have all parts (Part 01 through the final part) in the same folder.
If you are currently stuck with a set of .rar files (like Part 09) from a backup or source you already have:
Go to Options > Graphics and adjust the "HUD Scale" or "UI Scale" if you are playing on a 4K monitor. Lag in Big Battles: Disable "Bloom" and "Anti-Aliasing" in graphics settings.
Ensure your version matches your friends' versions. If using Steam, "Verify Integrity of Game Files."