One of the archives might be corrupted. Here are the md5 hashes:
Yume2kki_ver0.100.part1.exe 9f3fcc3c d68eead4 ecb64f6d ece20e38
Yume2kki_ver0.100.part2.rar 5c3a8aad b61df10e 44975e91 8812bf23
You could also try this single archive mirror. It's the contents of the two .rar files put into a single .7z file.