I think this covers it.
You see the root in the back, I put all the downloads into a temp folder named SHADOW. Then you have the installer asking for the file, being told it is in SHADOW and then the error telling me it can't find it.
Except for showing the complete filenames. ;) You have plenty of screen real estate. Drag the Name column separator to the right and it will display the full name. Based on the Type column files have the correct extension.
The "file can't be located" error will happen if the file is missing, something renamed it (missing), partial/incomplete download (hash mismatch), corrupt download (hash mismatch), and wrong version of the bin for the given setup.exe (hash mismatch).
As it's asking for part 1, the larger 4 gig .bin file it's crying about. Your setup for installing it is good, but given you have now downloaded it a couple of times double check the files don't have any extra (1)
or the like added to the filename. If the name is correct than the problem is a file hash mismatch. Ideally you would check the hash (MD5/SHA1) of the -1.bin
file you downloaded and compare with someone else's hash of their download for that file. If they match & you did a fresh download of the setup.exe then the problem is the wrong version on the server. Someone need to tell GOG so they will go and fix it.
I would give you the file hash myself, but I only have the demo.