Hello
They are parts of a single zip archive and you need to download all of them to be able to extract the entire archive.
For example, if you want to play the demo, you need to download Countess in Crimson Demo 0.8.11 Setup.zip, Countess in Crimson Demo 0.8.11 Setup.z01, Countess in Crimson Demo 0.8.11 Setup.z02 and Countess in Crimson Demo 0.8.11 Setup.z03
This is because itch.io doesn't allow uploading single files larger than 1GB.