Probably your file is corrupt and it can't be installed?!
Try to load it again, that's all I can say.
Because in the exe there are probably some .cab files and one is missing so could be the download corrupt... yeah, that should it be.
It means you need to redownload. All .cab files are signed, if the file is off by even 1 bit the signature won't match (essentially a CRC error). Redownload without a multi-stream download manager.