In current version, there should be 7 files in total for the full game (unfortunately itch.io only allows 1GB per uploaded file, hence why it must be split into many separate files): "Countess in Crimson 0.8.19 Setup.zip", "Countess in Crimson 0.8.19 Setup.z01", "Countess in Crimson 0.8.19 Setup.z02", "Countess in Crimson 0.8.19 Setup.z03", "Countess in Crimson 0.8.19 Setup.z04", "Countess in Crimson 0.8.19 Setup.z05", "Countess in Crimson 0.8.19 Setup.z06".
Are you able to download those files? If you do, make sure they are in the same folder and right-click on "Countess in Crimson 0.8.19 Setup.zip" to extract the archive. If you are on Windows 11, the built-in Windows extractor does seem to behave weirdly and shows "The same volume cannot be used as both the source and destination" error (I think Windows 10 extractor didn't have this issue). I recommend using a free third-party extractor like 7-zip which should extract the archive without any issues.