Make a directory on a harddisk of your choice which has ample space called,
say, "d:\FIX12". Download all files except the xr_m*.zip to this directory.
Make a directory called d:\FIX12\OS2SERV, download all of the xr_m*.zip
files to this directory.

using "UNZIP", unzip all of the *.zip files in there relevent directories, this
will also create any needed directories and place the files into the required
directories.

PS use either pkzip /extract, or the earlier unzip.exe from IBM's TCPIP\BIN
directory, the latest unzip's don't always unzip to subdirectories, and use the
same decompression, depending on the version you are using.

Go to the "D:\fix12 directory, type "OS2SERV", have fun :-)

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This method has always worked for me but apparently some people
do have problems with it.
There are also utilities available to do the same thing.