Do I have to DL the file 1-3, or can I just download the full install?
You can download the password protected archive, but it just contains the three separate install files, just packed. So it's up to your will if oyu want to download 3 files separately or in one archive, but installation will be the same.
Since there always is the risk of the download being corrupt I would recommend downloading the three separate files. That way you only have to redownload one third of the FH installfile if one of them turns out to be corrupt.