I browsed over this several times.
The book came as 18 separate html files which contain the text and formatting, plus matching folders, (same names) which contain only a small graphic of a swan. The swan picture shows up on the final page of each chapter.
After looking over this I realized I only had 17 folders, chapter 1 folder was missing, (maybe I lost it after downloading, I don't know).
I created new folder, named it the corresponding name for Chapter 1 and tried again. Same result. Chapter 1 is missing from the combined book.
I'm obviously missing something, but what?