You probably accidently downloaded the setup into multiple parts by accident you have a couple of choses: 1) Find The other parts 2) Re-download and make sure it stays in one bit! 3) Get someone else to download it and give it to you...
what os are you running?
I would recomend you download a new shell.dll from the internet. But first make a backup of the one you have and change its ext before installing a new one...