How do I install games with multipart installers from GOG?

I am trying to get S.T.A.L.K.E.R.: Shadow of Chernobyl up and running but when I go to the games GOG download page I see three files:

S.T.A.L.K.E.R.: Shadow of Chernobyl (Part 1 of 2)

S.T.A.L.K.E.R.: Shadow of Chernobyl (Part 2 of 2)

Multiplayer Update

How do I go about installing this game? Do I just grab all three files? Which one of the three do I navigate to when the Lutris client asks me to choose the installer? Thank you, I have tried googling around but have been unable to figure out how to set up games with multipart installers.

Yes, download all the files (multiplayer might be optional) and then point to the exe file when the installer asks you for it.

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I got all three files and just kept them in my downloads folder. When prompted I navigated to the first file an exe. It said it installed the game although the process was lightning fast. When I clicked launch game, it gave me this:

“The file /home/ubuntu/Games/stalker-shadow-of-chernobyl/drive_c/GOG Games/S.T.A.L.K.E.R. Shadow of Chernobyl/bin/XR_3DA.exe could not be found”

Note my user name is ubuntu.