I've been noticing that quite often of late.
Depending on the speed of your connection (plus your general internet settings; the latter I still have not confirmed), if you try to strait-up open it, you have a chance of getting only a chunk of the file.
However, if you save the file to your PC/laptop, if it is still corrupted, download it again and select to overide the prior download. More often than not, I have found that this will download the file correctly.
Note - I am saying this while using DSL high-speed; actual milage of advice may vary.