The file you have downloaded is probably corrupt. There is very little you can do about this except to throw it away and try again.

There is a small chance that the file is using a new compression standard which your current version of WinZip doesn't understand. You could get a new version of WinZip, WinRar or WinAce and try again.

I believe that some of WinZip, WinRar and WinAce have file recovery and repair tools built in that might (possibly, perhaps) allow you to repair the archive (if you are really lucky and the wind is blowing in the right direction).

Mark