That's odd, they aren't supposed to be *.zip files, but *.bin ones, you don't need to unzip them, all you need to do when running GOG installers with more than one file is to have the multiple parts in the same folder and then run the installer (*.exe), while leaving the *.bin files alone.
Could you please elaborate on your specific settings and hardware? At least tell us what OS you're running, as it might help greatly people trying to solve this for you.
First of all, I made a small mistake with the files, they aren't .zip files but .rar ones
I'm running Windows 8 on a Lenovo Z50, I downloaded the files with the help of Internet Download Manager.
The files are all saved in same folder (1), if I run the installer the first thing I see is message about how the files aren't present (2), once I acknowledge the user agreement I am asked to select the files (3) but selecting either of the two present tosses up this error (4) and backing out cancels the install. Meanwhile if I run either of the two .rar files I see this (5).
Appreciate the help.