If you're refering to music then here's something to keep in mind: T3 Spammers; mp3 Bit-Rates Versus File Sizes ie: you need to be attentitive when it comes to recently released music.

If it's happening for all files, then it might be an issue with your firewall, antivirus or similar softw. For antivirus it might be wise to set it to check them after it's completed downlding.

Another point is, when/if you receive a message that a file is corrupt there's an option to always use that answer. Some people tick this & then find files they've downlded come up with corrupt in their names. The way to undo this is to go to LW's menu Tools>Options>View>Popups & tick the Revert to Default option & press apply.