I unzip the contents of the downloaded file to F:\Temp and run makedisk.exe from there.
After selecting the CDRW drive and clicking Finish, I get the error message "Unable to open file F\Temp\F\Temp\F".
After doing this multiple times with the same results, I went through the exact same steps using the 1.35a installation file and do not get this error.
Probably not relevant, but this is on Win10 Home AU.