Cannot install

[spl]

I downloaded the free download version I got with the CE and cannot install it. I get a message saying "Please insert disk0 that contains the file data3.cab"
I am not sure what to do with it...
I used the old Gamersgate downloader as well, since when I tried the new one it froze up on "Initializing".

 

[spl]

I tried the new gamersgate downloader again and it eventually completed the download. When I tried to install the game with it, it worked.