You can download and install the GOG Downloader program to make downloading games easier. You set the download path in the Downloader options, then it's basically just one-click to add the game for download, it does it all at once, then you have an installer to run once it's done.
if you prefer to download using your browser, then yes, you will have to download separate chunks, then run the installer when they're all finished downloading. From what I hear on these forums, downloading the chunks separately tends to lead to more problems than simply using the GOG Downloader.
You'll see an option to install the GOG Downloader when you go to download the game form GOG. Click on The Witcher 2 on your game shelf, then look for the "GOG Downloader mode" thing on the right side. There's a small "install now" link to install the downloader.
EDIT:
To make things clearer: If you download with your browser, once all the files are done downloding there should be an .exe file among them. Run that file. It's the installer, and it will then read all the chunks and install the game. You will need all the files present, or it will not work.
if you used the GOG Downloader instead, you should just have one big .exe file installer I think. Run that to install the game.
Post edited November 19, 2014 by Waltorious