Hi jboy. I and others have had this problem before. Try downloading one of the many freeware file archivers and then extract using that. I've listed quite a few in the FAQ's section which you can find in the game discussion stickies section.
I purchased a game from direct 2 drive some years ago and it had the same problem. I kept redownloading the file but it kept saying the file was corrupted so I contacted D2D and they tested the file and said it worked for them. I then tried a different file archiver that I'd recently purchased (Stuffit) and it unpacked the zip file first time. The resultant set up file worked perfectly.
I'd normally post a link to this in my game reviews, but I've not been able to gain access to my admin account over the past three weeks and the giveaway team member I've contacted hasn't been able to fix it for me yet. By the time I find out what the game giveaway is going to be it then takes me around 4 hours to complete a review (unless its been posted previously), by then the moderator who has been moderating has already moderated and usually the comments aren't moderated again till late evening. I don't feel the effort I'd normally make is justified because most community members will have already visited and downloaded the game by the time my review could be seen. Also my reviews tend to contain links to other sites and links to several images. So far all of the reviews I have posted without being able to moderate myself have gone into the spam bin.
Hopefully the problem will be sorted soon as i'm missing my weekend moderation. :)
If that fails read through the FAQ's that I've posted. you may find another fix (for example clear out the internet cookies folder)