I have never seen this kind of download and install before...Do I need to download all 3 parts to install and should I create a folder to download them to?

I guess you don't own witcher 3 then http://i.imgur.com/uJIcQua.png
Anyway, you need to download all 3 files, you will get:
Installer .exe (small 35mb file),
game files .bin (3gb)
these two should be in one directory.
Third file is
patch exe, launch it after installing the game. doesn't need to be in the same directory as previous two to work (reads windows register for installation path)

Thank you for the answer. No i dont have witcher 3 ...Yet...But I do have witcher 2

Id like to add that for some reason the download stopped for some unknown reason (yet another reason for me to hate google chrome) and now I have to start over again. I couldnt get the GOG downloader I had installed years ago to work so I am installing the galaxy thing that seems to be an updated version of it.

Yeah, I would have recommended Galaxy right away. It's completely optional, just like the old Downloader was, and many old grumpy GOGgers are adamantly against it, calling it "DRM", and whatnot, but it's a great piece of software that makes GOG that much easier to use. Installing games becomes a lot more easier and convenient, it also updates games automatically, no need to download the entire installer again as soon as a patch becomes available. It also has a roll back feature, which allows you to go back to a previous version of the game if a patch made it bug out for you, which Steam doesn't have, and it has helped me with at least two games, already (Dropsy and Hotline Miami 2).

Don't listen to the Galaxy naysayers and "DRM" fear mongers: Galaxy is great if you want to have an easier GOG experience. Do bear in mind it's still in beta, so a lot of features are still being implemented and some games are not yet Galaxy compatible (mostly older games).

Also, you can just use Galaxy as a downloader client, no need to launch the games you installed using it, it still installs the games just like you would do if you did it all manually.

Wow your right. I have to say that galaxy is pretty cool. I didnt have to do anything . It downloaded the game and installed it. All I had to do was press play and bam im Playing grim dawn seconds later....and what a great game too. I played for about 6 hours straight and killed the warden before I called it quits for the day..This game rocks.

I find it not having randomly generated levels boring, yet at the same time the level layout is stupid pushing straight forward in a dungeon to work out you have to use the old labyrinth trick of tracing the left wall till you eventually find the exit is plain tedious and even on the map having to back track to choose a different fork when it's quite clear there is only really one direction (around the shore) you are meant to go without clear enough 'this is the main route' signposting is just infuriating.
I thought this game was suppose to be all about allowing you the freedom to move about to different areas even if they had critter levels that would frogstomp you in a heartbeat.
The only place that was practically the case was with the doors of torment Hero (level 47 verse my 25; still kicked his ass); but everything else is BOSS locked.
Some people may like the whole minion minion minion 'actual challenge monster' premise; i prefer each monster to be a challenge when playing an active class like soldier.

Anyways glad it's at least working for you; i'm currently reinstalling after Galaxy failed it's autoupdate and hence not allowing me to push play.