I'm not 100% certain what you are talking about, but if you are using the free download option, where you have to download multiple 500 MB .rar files, or for the older titles, multiple 200 MB .rar files, yes, you must download ALL the parts. Here's an example using the title HaremKingdom.
Using the free download option, this title has six parts, five 500 MB .rar files and the last file being an 365.8 MB .rar file. You must download ALL six files. Once you have downloaded them, make sure all six files are all in the same folder.
Next you need to use some sort of