As the title says... am having trouble with installing the the EE version of the game. It seems to download in three parts. Whether I click run, or download all three parts and then try to run set up, I get a message saying the file could not be found in the installer's folder.

If I save instead of run it saves to my downloads folder and gives me the same issue. Is there somewhere specific I need to save it to? Do I need to create a folder?

You could try to create a folder and place all 3 files in it. However, I do not know if that will help.
You could also try to use the GOG Downloader or GOG Galaxy to install the game.

The GOG Downloader will only download one file that can be used to install the game. First, you need to download and install the GOG Downloader. After it is installed go to your account on the homepage and click on the game then click on more and choose GOG Downloader Links to download the installer.

I could swear I did that a long time ago when I first signed up on gog, but I will give it a try and see what happens

Edit: I did like you said, and it worked. Thank you for the advice. Now I just hope it also installed the dragonspear DLC I bought today along with it.