Yes, there is a file in the mui38usr.lha that has only a space as filename, and it is not really anything important. But in general it is a good idea to unpack lha archives on the Amiga, and not on Windows, since Windows will not keep the file system flags that Amiga files may have, and hence things may not work as intended when you copy from Windows. So it is a good idea to do as you suggest - split the larger archive files on the windows system when you need to "floppy" them over to the Amiga. I'm sure goolge can help you with how to split files on Windows, and on the Amiga there is the standard command "join" you can use to assemble the parts into one file again.
In addition it is useful to have some checksum program on both sides, so you can make sure that the assembled file on the Amiga is identical to the original file on the Windows system. For example an md5 checksum (
http://aminet.net/package/util/misc/md5sum2)
When you are tired of "sneaker net" (floppies), you can consider setting up a serial link between the Amiga and the Windows PC. This can be done much more convenient today than back in the days, since all you need is a bluetooth-RS232 dongle which can be configured to speak with your Windows PC's bluetooth to set up a null-modem link (a lot less dangerous than using a real serial cable, since you avoid the risk of unwanted current going between the two systems, blowing those 8520s on the Amiga)
