I think you have misinterpreted the instructions.
Read them again, and also save a copy of the additional PDF README that's linked on that page you referenced in your post.
You don't open each individual file.
You download all six files ( .001 through .006) and place all 12GB+ of them into the same location.
Only after you have done that can you then invoke the 7zip utility onto the .001 file, which will unpack and concatenate them into a single result.