Step 1 - Download the individual parts of the file into a folder on your computer. Remember where you put em!
Step 2 - Download the merger file.
Step 3 - Browse to the folder where you downloaded the file to and make sure you have all the files needed!
Step 4 - Double-click the merger file to start the process.
You will see a small command prompt window appear.
Step 5 - You will be asked if you wish to delete the parts that are no longer needed. Click 'YES' for this.
This is a *really* poor site...
Anywhere that asks you to install some kind of client to ensure that you get the file you want is suspect in my book.
If you can't do it manually, don't trust the machines.