Why can't I download each game by itself? I won't have disk space to install 5 games at the same time
One of the files is 4 gigs and won't fit on a DVD, the maximum is 2 gigs per file so I can't burn them on a DVD either
This is really dissapointing

I don’t own the collection but the product page says the whole installation is 7.6 gb. If you want to backup the setup files a 8.5GB double layer DVD should probably work.

Gog's supposed to have every game split into 2 gig files like they used to though

Not sure if I remember right, but both games (or all of them if you include classics too) are baked into one single installation as a compilation of sorts. Regarding max filesizes, as long as you don't use something super old like FAT32 with its 4GB file size limit, you shouldn't have a problem.

For burning, use the UDF format which doesn't have any silly 2GB restriction per file etc, and you can use a double layer dvd like mentioned already in this thread to help you further with 8GB files if needed.