The downloads for the samples for the Wrox Press book
Beginning ASP.NET 2.0 are provided separately, one
per chapter, and a final complete application. This
allows each chapter to remain distinct, allowing
reworking without destroying a central application.
Also, as some chapters include the complete application,
separate downloads allows smaller individual downloads.

You should unzip each file into the same folder
which will give you the following structure:

Begin\Chapter01
     \Chapter02
     \ChapterNN
End\Chapter01
   \Chapter02
   \ChapterXX
WroxUnited

The Begin folder is for the working through the chapter
exercises, while the End folder is a reference point,
containing the code at the end of the chapter.