I just downloaded both parts to test, and they work fine. Note that they are not the two parts of the book, but just two pieces of the compressed archive. You cannot extract the second piece independently.
I don't know how it works with winzip, but the command-line "unrar" works by uncompressing the first part, and it automatically continues with the second part. At the end of the process you should have a single 30MB "Don Quijote.epub" file. You can also download it from http://djelibeibi.unex.es/libros/