The setup.exe file is the last file unpacked, and all 4 parts need to be unpacked to the same folder (this is automatic).
In case your computer doesn't like doing the unpacking/install all at once (how X2 is), you can also use a program like 7zip to unpack them all first (to one common folder). This also helps if running the installer again (save that directory created and no need to unpack them again).