Well, the files certainly shouldn't be named like that.
Could you tell me where it was bought? There might be a problem with a whole batch.
In the meantime you can use the GOG code found in the box and claim your free digital copy.
EDIT:
Alternatively, you may try renaming the files but to do that you'll have to copy them to HDD (all to the same folder)
Rename them as follows:
Disc1: SETUP-TH.EXE -> SETUP-TH.EXE
SETUP-TH.BIN -> SETUP-TH-1.BIN
SETUP-T2.BIN -> SETUP-TH-2.BIN
Disc2: SETUP-TH.BIN -> SETUP-TH-3.BIN
SETUP-T2.BIN -> SETUP-TH-4.BIN
Disc3: SETUP-TH.BIN -> SETUP-TH-5.BIN
SETUP-T2.BIN -> SETUP-TH-6.BIN
Disc4: SETUP-TH.BIN -> SETUP-TH-7.BIN
SETUP-T2.BIN -> SETUP-TH-8.BIN
OR if there is only one .bin on Disc3&4:
Disc3: SETUP-TH.BIN -> SETUP-TH-5.BIN
Disc4: SETUP-TH.BIN -> SETUP-TH-6.BIN