The files are downloaded in equally divided chunks specified by the person who first set up the torrent, this can be anything from 16 kilobytes to 10 meg. Some of the files will overlap in these chunks, so even if you tell it to skip a file, a chunk might could contain the end of one file you wanted to download and the start of another file you did not want to download.
Any part that contains a piece of the file you want will be fully download, and the unneeded parts discarded once the download is complete.