emuparadise noob needs help

[tyranim]

well, to put it bluntly, im a noob and i need help.
while i was trying to download legend of dragoon, i noticed something odd. something that no other ROM/ISO site that i know of has.
its disks seem to be broken into seperate parts. i have no idea why this is, but seeing as all of the first links on each disk have exactly 50 MB of info on each, i made the inference that they are a set and that i cant play the game without each of the downloads. my question is: do i need just to download them, then unzip like always, or do i need to combine them with some kind of program before they are of any use to me? what's the deal with that?
here is what i mean: http://www.emuparadise.me/roms/psx/T...0of%20Dragoon/

eh. forget it. i'll just look for it on a different site.