Upgrading Mac OS problem

[Denise]

New question:

I have finally gotten around to downloading the 15 parts to upgrade from Mac
9.0.4 to 9.1 (on the way to 9.2.2).  When I try and install the first part,
I get the message:

"Problem were encountered accessing the file "Sleep Memory Extension" on the
disk "Macintosh HD".  Please move the file to another folder and try again."

Where do I move it to?  It is presently where I thought it belonged: in the
Extension folder.

Also, do I need to do each of the 15 parts seperately, or will it
automatically go through them in order?

Can you tell I have never upgraded my OS before?

Denise