It means the file is corrupted. This can happen if:
1) You downloaded it from somewhere, and the download didn't finish. For example, if it's supposed to be a 20 MB file and it's actually showing 14 MB. Re-download the file and try again.
2) The file was corrupted on the server hosting it. Not much to do about this except contact the webmaster of the site.
3) It's a multi-part .rar file, and you don't have all the parts.