These are two CDs. They are in the form of ISO files. They have been compressed using Winrar into a set of 4 and a set of 27 parts of mostly 14.3 megabytes each. You should be able to unrar them to get two .iso files. These can then be either burned to two CDs or mounted using Daemon Tools or similar free image-mounting software. If you don't know what I'm talking about, do a Google search :-) You don't need to do anything fancy to burn the CDs and run the game. It expects the CD to be in the drive, but if you use Daemon tools or some such you can have it in a permanent virtual drive. Ah the joys of the old simple copy-protections!
If you have problems installing on XP, I believe you can just copy the files from the CD or image to the installed directory, and there is an XP patch for running the game on emge's site (see links below)
This official page shows that Fin Fin is true Abandonware!
Virtually Real is a good fan site that has a lot of info on the game
Emge's Finfin homepage is a real treasure trove for fans of the game.
The sites are still there as of June 2007.