I'm a machead and I have had the same problem with hjsplit files.
But it's easily fixed!
Allow the file to download... You will get a file with the double zip suffix on your desktop – zip.001.zip – possibly along with a ghost download file which you can just place in the trash.
So, turn to the zip.001.zip file... just highlight the name of the file and delete the second zip. You will get a message asking if you want to rename the file as .001 or leave it as .zip. Click the button for .001. Then just use hjsplit to join the files as usual.
Takes a few seconds!