Hi,
When downloading the PAtLink data, I receive three different files named "First Patent Set online", "Second Patent Set online" and "Third Patent Set online".

I wonder how these three files relate to each other? Are they together collectively exhaustive of all data available or is one of the files e.g. "most up to date" and collectively exhaustive on its own?

We update the database every year , which means including new years in dataset, however we go also backward for 5 years since there are delay in reporting from PATSTAT. So main difference is in number of year in each dataset. Depending on time span that you study you need to decide which dataset you need. If you need all time span, it is better to use all of them and then remove duplicates.