You are getting this error because the setup file you downloaded from the web is incomplete. You need to delete the file you downloaded. Clear your recycle bin once you have deleted it. Go to ZoneAlarm (FREE)
http://www.zonelabs.com/zadownload and download the latest update. Once you have downloaded the update ensure the size of the file is the same as the actual size of the file. This should resolve the problem.
Are you using any type of "Web Download Accelerators"? If you are, PLEASE turn them off, as they will cause problems downloading with Zone Alarm.
Hopefully the above two solutions will fix your problem, if not PLEASE post back.
Thank you all for your time and have a "GREAT" day or evening!