If you have no dvd audio then you likely may not have the AC3/DirectShow codec used to decode DVD audio tracks or there is something wrong with it if you do have it or the player you are using to watch the dvd with is deficient in some way.
Install this free codec package.
http://www.xpcodecpack.com/ Reboot, see if it solves your audio.
Install this free player. It's nothing special to look at but is very robust and never seems to fail at playing anything you throw at it. Even if installing the package above solves your problem you should still have this player in your repertoire
http://www.videolan.org/vlc/
The sequential files starting with AlizeeFanDVD-MerciVol-1.z01 is called spanning. A technique used when you have one large file that you need to break up into smaller bits for ease of downloading or storing. The 1st file of the bunch (.zip) contains the coded instructions that gather the info from the other files to re-create your single file from the spanned files. As Brad mentioned once you have the extracted single file you can delete the multiple files, unless you want them for a future back up.