How come I have been downloading .dmg files from different sources and all of them seem to be corrupted?

After downloading and double clicking, Disk Copy performs the extraction and then shows this message:

The activation of "File name.dmg" has failed error 95. (no document system available).

This has been a translation from italian, I hope it's quite correct.
By the way, it is happening with ALL the files I have been downloading for the past three days.

Does anybody know what's the problem?

Thanks