Did you unrar/unzip the file? It has directions on what to do next in there. Something involving a program called jdownloader, I think it was.
For an explanation for this, the real download is a disc .iso, and is a bit large for most filesharing sites and such. So the iso is compressed into a rar file which is split into about 70 individual pieces, each one uploaded separately. Downloading 70 things from something like rapidshare would be rather obnoxious, so that's where jdownloader comes in. When you download the file you already got, it contains directions on where to find jdownloader and how to use it, and a file that you open with jdownloader. That file is basically a fancy list of links too all 70 parts, and jdownloader downloads them all automatically.
I was a bit confused when I first encountered it as well, but once you figure it out it's not too bad. Though a torrent would be simpler.