I downloaded 4 files that turned into 3 files. I clicked on the setup file and it said it had to be in the same folder as the
installer file. What installer file? I sure could use some help here. Like a step by step of how to do it
NOTE: I placed the 3 files into a folder on the desktop before I clicked on the setup file.

You need to download all 4 files (an .exe file and 3 .bin files) to the same directory, double-click the .exe file, then follow the prompts. Alternatively you can install GOG's Galaxy client and let it do the game downloading and installing for you.

On a side note, how does one be a member for over 4 years and not know how to install games from here?

I know I need the exe file because I had TwoWorlds in my account and the exe file was not there like the OP.
I had the game in my account according to the web site even though I do not remember buying it 6 yrs ago.
I have no memory of the transaction at all. It is my belief it was not my account. How can the OP like myself get a copy of the exe file when it is not in the download file?

I also bought TW2 but after I installed it a box came up that said it needed DX 10. I have a eVGA GTX 970 video with DX 11 so why will it not run?

As another aside perhaps he never installed a game and got that message. AS for me I have been into computers starting in the 60's with an Apple 2E and have never had a problem with a DX issue. I bought TW2 on steam and after a HD crash I did not install it again till last summer and guess WHAT? It would not even go past the page where you enter
your serial number. When I finally got to the game because the mouse in the game was not working it did not get by the registration page. When I finally got to the game the in game mouse was disabled. So I bought it here and got the DX problem so if you can help please do.

BTW I never use a any third party installer because I did a couple of times in the past and it caused problems.

If you did not get all four files, you need to download the missing one. You can download each piece from your library.

Your graphics card is DX 11 compatible, that doesn't mean you have DX installed.
https://support.microsoft.com/en-us/kb/179113

Galaxy is not a third party installer, its made by GOG. If you don't trust Galaxy, how can you trust the standalone installers GOG already supplies?

I have been a mamber for four years but this is the FIRST game I have tried to install from the gog site.