The last one probably be the GOG installer for this game. So just open it and install the game :)

Darkstar One as well as Obscure is multiarchive game. Because some Windows issues, we cannot make one big installation file, so we divided it into several smaller.
Therefore you got to download and save in the same directory ALL the files, that includes all files starting with "setup_" and with two extension types EXE and BIN.
Once downloaded and saved in one folder, run SETUP_*.EXE (where * is your game name) and wait till installers verify itself. Then you will know game is intact and ready to install and play.
Best
Grah

Hmm...
You need setup_*.* files ONLY during installation, think of it as a Install CD for any game you bought in regular way. After installation you don't need setup_ files, so basically it's a good idea to store it somewhere, like to burn to the CD for future use, so you don't have to download it again. :)
Best
Pawel