Im surprised GoG release doesn't combine them into a single game, i used to do that back in the day since Holiday Hare 98 is basically a shareware release of Christmas Chronicles (they both behave like sharewares not letting you play all mutliplayer modes).

All you have to do step by step is:

1. Install Secret Files without JJ2+ first
2. Install Christmas Chronicles into the same folder
3. Install the JJ2+ version into the same folder again
4. Since you will have both Holiday Hare and Christmas Chronicles at the episode select screen (trust me, they're the same). Delete either Xmas98.j2e or Xmas99.j2e. It really depends what logo you like more for the christmas episode, Xmas98.j2e is for Holiday Hare 98 logo and Xmas99.j2e is for Christmas Chronicles.