All archive parts must be copied into the same, temporary folder. Then run the executable (this is a self-extracting archive) to create the setup.exe and setup-1.bin files. These are the two installation files. The multi-part archive can now be deleted, and if you want you can now make an installation DVD simply by putting the two setup files on a disk, or create some other form of backup. Or simply install it right away from that temporary folder.
Please pay attention to the installation advice and the changes of the user interface in the Release Notes which can be found on
the same downloads page as the multi-part archive. They are listed on the first pages, so you don't have to read everything in the RNs. I still think that it's useful to read at least the pages that describe the new features, but some people prefer minimal reading, so...