The files are:
North American version:
http://gdl.square-enix.com/ffxi/down.../FFXISETUP.exe (202 MB)
http://gdl.square-enix.com/ffxi/down...ASYXI.Data.001 (1.9GB)
http://gdl.square-enix.com/ffxi/down...ASYXI.Data.002 (1.9GB)
http://gdl.square-enix.com/ffxi/down...ASYXI.Data.003 (1.4GB)

Make sure that all the files have downloaded correctly by checking the file sizes with the approx sizes as listed above.

No, they should not be word docs. For whatever reason they have been assigned in your windows setup to be 'opened by' word.

Also try right clicking on the setup file and Run as Administrator, maybe temp disable any antivirus software during the installation too.