Usually, it means that the file you downloaded, is a corrupt file. First, try downloading the file again. Often you have to use your browser downloading engine, instead of using downloader programs such as star downloader, flashget, etc. To bypass a downloading program, press alt when you click on the downloading link, and if you're using Internet Explorer, that should bring up the Windows downloading window. I haven't used other browsers enough to know if this works the same for them or not.
There are a lot of freeware programs available for checking files to see if they are corrupt or not. There are also a lot of freeware programs that claim to be able to fix corrupt downloads, however I've tested many of the ones that claim to repair corrupt files, and not a single one has succeeded in repairing a file yet.
If you redownload the file and its still corrupt, you can also try searching a search engine for that file, and see if other sources to download it from come up. Sometimes a file that is corrupt on one source, will be a good file if downloaded from a different source.
Definition of CRC=(Cyclical Redundancy Checking) An error checking technique used to ensure the accuracy of transmitting digital data. The transmitted messages are divided into predetermined lengths which, used as dividends, are divided by a fixed divisor. The remainder of the calculation is appended onto and sent with the message. At the receiving end, the computer recalculates the remainder. If it does not match the transmitted remainder, an error is detected.
Heres another link to a thorough explanation of CRC and CRC failure
http://whatis.techtarget.com/definition/0,,sid9_gci213868,00.html