I've got a similar problem to the OP, but I'll be more specific. I've got all parts in their own folder, including the patches. But every time I get to part 5, the installer claims that it can't find it. I've tried redownloading part 5 but that hasn't fixed the problem. I've attached an image below to show the problem. If anyone can help it'd be appreciated.
edit: Found the problem. Turns out GoG updated part 5 before I downloaded it, so it was incompatible with the base installer. Moral of the story: use GoG Galaxy in the future, its much less of a headache.
I can't even get Part 1 to install. I get a message that it can't be found in that directory but I can clearly see it in that directory. I tried using Galaxy and it crashes 5 seconds after it loads (which takes a few minutes for it to do). I'm trying to support the smaller retailers like GOG but their crappy interface is making me wish I had just bought it through Steam. Now I have to wait until some time in the future to go back and forth with try-this-try-that just to play this game.