Ok Stick, but we gotta get the terminology right to avoid confusion here. Try extracting the individual gauge files from the zip to the main CFS2 GAUGES folder. Sounds like you're doing something wrong in the extraction process.
Before doing that, check and see if there's a sub-folder named "Gauges" inside your main CFS2 GAUGES folder, then you're messing up with the extraction process. The files inside that gauges subfolder need to go into the main GAUGES folder and delete the empty subfolder.
Its a common thing you see with ppl new to computers to mix up the words "file" and "folder". This causes some confusion when they read install instructions. The easy way to remember: files always go inside of folders, which are the containers.