if the binary you are trying to download is spread over multiple threads you have to find each thread. Usually the post will say 1\3. 2\3, 3\3 if its a three part post. Once you find them do a Ctrl-Click to select all three, or however many they are, and then Message > Combine > Decode. It shoud then ask you if you are sure or where to put them, or something to that effect.
When its done you should have one complete file.
And the best way around this is to use Xnews instead of OE.
