WESTWOOD.001 is one of the data files from the game not a file to extract
http://wiki.scummvm.org/index.php/Datafiles is a list of the data files used in SCUMMVM
The Legend of Kyrandia 3 Malcolm's Revenge (CD DOS, Multilanguage).zip I'm guessing just has the needed data files by SCUMMVM and is from the CD version of the game rather than being a CD image or ISO (I will confirm this once it downloads)
EDIT:- I guessed correctly
Just extract the contents of the "The Legend of Kyrandia 3 Malcolm's Revenge (CD DOS, Multilanguage).zip" to a folder called kyra3 and point SCUMMVM to that folder