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Tallin: Actually, it's a 4GB limit in FAT32.
True, thank you for the correction

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Tallin: They actually recently changed the segmentation from 2GB to 1.5GB in size, most likely for this very reason.
I think there was a wishlist request for changing the file size so that 4.5GB could be written to a DVD instead of only 4GB. It is though possible I remember it wrong, since a quick look at the wishlist doesn't turn that wish up.
Some Windows XP systems shipped with FAT32-formatted hard drives, so if GOG used single installers for everything this would mean a small percentage of XP users would be unable to download the larger games without some fiddling. This is in addition to the browser file size issues already mentioned by others. There aren't any noteworthy disadvantages to using split installers on Windows and it avoids these and other potential issues.
Post edited January 11, 2014 by Arkose
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wpegg: If you mean why are the installers broken down into several files. I believe the reason is that there is a maximum download size when downloading via http. This means that people who don't want to use the downloader (perhaps because they can't install apps, or simply don't want to) can still get hold of their games.

Why they haven't done this with Macs - perhaps it's not possible, I don't really know about mac installers.

EDIT: I'm wrong. HTTP as a standard doesn't restrict download size, but I'm pretty sure some browsers do, and that it's generally not a good idea to exceed about 1GB, if for no other reason then because one failed bit would wipe out the whole session.
I've had exactly one instance of a bad download ever that I can think of and as fate would have it that was one of the .bin files for the 2.x NWN Diamond Windows installer here.

I've downloaded huge .dmg files from here, namely both Witcher games and no issues. In fact I am currently playing the first Witcher that I downloaded from here via http in its Mac version.

That said, a failure is less painful if the files are smaller sizes of course as you mention. I probably should try out the Mac version of the GOG downloader for the error correction I'm assuming it offers but since http has been fast and trouble free I've yet to bother.
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011284mm: Just checked, you are right NTFS can transfer huge files so the days of keeping files so small are well behind us.

Since we have your attention, would you care to elaborate on why Windows files are split (not that I mind as it makes them easy to put on DVD) and Mac files are not?
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JudasIscariot: With Windows, it's because there are still some people that are on 32-bit versions of Windows. With Mac, I am not exactly sure since I don't know Macs all that well but I believe someone else has said in this very thread that Macs don't deal well with segmented files :)
I don't think there is any issue with segmented files on a Mac. It's just a matter of fact that by convention for a long time Mac apps come ready to copy into the Applications folder on a disc image file. And when the app needs to have its own preferences or other unique system files it creates those on the fly when it is run. So there is no need for an installer to copy such files. There is no need for an installer to make registry entries. There is no need to install external application frameworks or libraries of any kind because OS X already includes all these things for developers to use and Apple keeps them up to date whenever they update the system software. There is no need for an installer at all in fact. GOG Mac installers do not have any executable installer you know. It is simply a disc image file the user mounts by double clicking it. When the disc image opens you see two things normally - the app you want to install and an alias to the Applications system folder. All a Mac user does is drag the app onto the alias in that window and wait for the copy to complete. The app is then installed. That's all there is to it. There is no installer program needed. Lastly, you unmount the disc image and good to go. In the current version of OS X your installed app immediately appears in Launchpad where you can run it conveniently.

It is as a result of the design of OS X in part that simple installers that are nothing more than an app that needs to be copied to the Applications system folder are the norm in the Mac world. It has nothing to do with file sizes, etc. It is simple by convention, by design and it is a very good design I might add. :D