I asked a DBA for a copy of a database for me to work with. He gave me 2 .BAK files. I created a new database called Alert and tried to restore from the .BAK files. I got

"The volume on device '...\Alert.bak' is not part of a multiple family media set. BACKUP WITH FORMAT can be used to form a new media set. RESTORE HEADERONLY is terminating abnormally. (Microsoft SQL Server, Error: 3259)"

I've never tried this before. I'm I doing this wrong?