Why my sitemap split the sitemap

Hello, in a few sitemaps that i visited it shows in the http://www.myblog.com/sitemap.xml this:

wwww.myblog.com/mypost1-
http://www.myblog.com/mypost2-

But in my site, the sitemap splits in various sitemaps, check this:

http://www.cssblog.es/sitemap.xml

It shows in this format

sitemap-pt-post-2012-07.xml
sitemap-pt-post-2012-08.xml
sitemap-pt-post-2012-09.xml

And when you click here, it shows all the post in the selected month. It is worst for seo? How i can change to show in the sitemap.xml directly all the posts?

Thanks.

http://wordpress.org/extend/plugins/google-sitemap-generator/