No, the files come exactly as with emule. All in 1 download. You can download multiple files at the time, and the limit is your bandwith. The main difference with emule is the search engine. You don't have any! You must find your files trough web search engine (like piratebay.org). These sites will provide you with a ".torrent" file that you must open with uTorrent (and uTorrent will begin download auto.).Also, similar thing with newsgroups, do you often find all parts to a movie posted, or do you usually have to download some then wait ? Do the files come in any strange format which needs converting.
Sorry for newbie questions !
Et voila!
Good hunting!