I've check the files size and they seem to be correctly downloaded. Hmm, can you teach me how can I extract it with hex editor? The full size is 258.38MB and it seem like a wmv.
The only problem I can think of is that the files haven't all downloaded, check the size against the info on the uploader, check the first 2 files are exactly the same size, only the last file will be smaller.
A problem I used to get on win98 was if the filename of the file it was trying to extract had a Japanese filename. Sometimes it gave me the chance to choose a new filename, sometimes it just refused. I assume nobody here would have that problem.
To extract them with a hex editor, all you need to know is the actual file data starts at 0F20, so delete everything before that from the start of each file (the first 3872 bytes) then join the files.
If it's an mpg then there'll probably be a slight glitch where the files are joined.
If it's an avi you need to run it through virtualdub/direct stream copy, then it'll play perfect with no glitches.
If it's wmv, hmm, I dunno, I've never had to do it for a wmv. It'll maybe play up until the join then stop. Wmv is quite a fussy filetype, you may need to repair the file with some prog afterwards (I recommend is Asftools or WM Recorder).