These are very large files that may take a long time to download.
It is best to download by country.
But if you really want the whole world you cna download version 2.0 as a shapefile, or ESRI geodatabase (for ArcMap 10): ESRI file geodatabase, ESRI personal geodatabase.
These data are freely available for academic and other non-commercial use. Redistribution, or commercial use, is not allowed without prior permission.