Please firstly download all parts of the zipped Serrano dataset to the same folder. There should be 12 files for STATA and 13 files for SAS, each has a different part number. Once you have all the files downloaded, you could unzip them using archive managers. The data will be extracted into a folder containing 6 datasets.
Below is an example downloading current Stata version of Serrano:
You need to firstly download all parts to the same folder as below, and then unzip them.
You shall find all extracted Stata data files in a folder named "Serrano_Stata_2019" by default. As listed below.