The checkboxes and "download as ZIP" are different types of bulk download, which is premium-only feature. Click the file name to view the file details or right-click it and select Download -> Download (first option on the menu and then first on the sub-menu).
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1. The game file is divided into 9 different files. I am not sure which files go where if I can get them downloaded. Is there a readme or something to indificate which file goes where, or download in a specific order?
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That's called a split archive. It's often used when sharing large files through 4shared and similar services, as if there's an error during download the user only needs to redownload the corrupted segment of the archive instead of the whole thing.