After downloading the big ZIP archive it's recommended to check it against download errors with the "WCS Setup ZIP Check & UnZip". In
you can find an
older version (126.96.36.199)
from this tool and in german forum there is a newer version:
darkest-dawn-setup_zip-check-unzip188.8.131.52.zip Edit: Link removed, outdated. (Luke 30.05.2012 12:23:13)
With this you can check the ZIP archive and after the check the tool can unzip the archive for you. Very simple.
The next point is the current WCS patch. This can also be found in Hornet's Nest: