Calum,
Try d-loading the Win 3.1 disks from that site again. I did it and unziped them fine. Maybe your connection "burped" or something.
Anyway,
To install all you have to do is unzip all of the disk files in to one directory (Not in the C: or whatever drive you are installing on). The directory can be any kind of media, a single zip disk, CD, extra HD, partition etc.
You can even just unzip all of the files in to separet flopy drives and name them Disk1 etc. And feed them as the installer asks for them.
If you are installing from one directory (i.e. dumping all of the install data from the various zips in to one place) all you do is select custom setup from the menu, when the installer needs a certain chunk of data it will ask you if it is in the same directory and will even give you a path field to input which directory the data is located.
You should install fine.
I tried it on PC DOS so it should work.
Then