You shouldn't right-click 'save as.' Just click the link normally and you should get a popup dialog box asking whether you want to open or save the zip file.

The text on the download page that talks about splitting the file up only refers to if you set the "split file into" drop down menu (at the top of the page) to something other than the default. If the box says "don't split file" then each part you download will contain it's own zip with full avi file along with any supporting source docs.