Sadly never got to try this game before the download said the file doesn't exist, but looks like a lot of work was put into it so I'll give credit for that
If you right-click on the smaller file & extract once you have every file in the same folder it will work. Have you tried installing WinRar its a much better extracting tool & its free. The Daemonum.zip should be the one you need. The other files are just part of the archive & it has to be that specific one to unzip. Please let me know