When I try to install the game the installer asks for the location of the second file. Which do I choose? I am running on Windows 7

If you download all of the files (there is a .exe file and 2 .bin files) and put them all in the same folder, then you won't get prompted for the second file. If you've not downloaded all three, or you've renamed any, then you will get prompts and it may not install.

I have no idea how to do that.

No idea how to download all three of the files and put them in the same folder?

I right click the files and try save target as.. but once the first file is downloaded, I cant put the second and third into the folder.

Then I can only assume you have computer problems, as folders can contain many files, not just one (that is the whole point of folders). Nothing stops you downloading a file to a folder that already contains a file, unless your PC is infected with a weird virus or something, or you aren't using your operating system correctly.

If you can't download the files to the same location then there's nothing anyone here can do to help. In this situation, the best advice is to get a friend to help you sort out whatever is wrong, either with your computer or what you are doing.