>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?

Did you select both BAK files in the Restore dialog? Can you script the restore and post here?

You may also review http://social.msdn.microsoft.com/Forums/en-US/sqldatabaseengine/thread/7b259f06-e1e2-47f5-8303-77775ee80400 but it's rather long.