You can maybe do something like this with awk
awk '{outfile=sprintf("file%02d.txt",NR/5000+1);print > outfile}' yourfile
Basically, it calculates the name of the output file by taking the record number (NR) and dividing it by 5000, adding 1, taking the integer of that and zero-padding to 2 places.
By default, awk prints the entire input record when you don't specify anything else. So, print > outfile writes the entire input record to the output file.
As you are running on Windows, you can't use single quotes because it doesn't like that. I think you have to put the script in a file and then tell awkto use the file, something like this:
awk -f script.awk yourfile
and script.awk will contain the script like this:
{outfile=sprintf("file%02d.txt",NR/5000+1);print > outfile}
Or, it may work if you do this:
awk "{outfile=sprintf(\"file%02d.txt\",NR/5000+1);print > outfile}" yourfile