Memory stick -- insert last disk of multi-volume set?

when i plug in my memory stick and do a search on it it say please insert the last disk of the multi-volume set and click ok whats gone wrong please
 
[FONT=arial]it could be that the zip file is part of a lot more files. they are usually broken up into smaller parts to upload, and you need all of them to decompress the file.

or the file didnt completly transfer onto the USB drive, or has become currupted/damaged.
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