I might be able to help out on this one. It's not necessarily a sam and max problem, its a problem possibly related to a combination of drive fragmentation and that ridiculous hive that is IE's download cache. When IE downloads a file, it writes the stream to a "temp file" into the cache and then makes a second copy directly. I guess they do it fearing bad end of file errors or something. I have gotten corrupted installers before with other games/demos that were just badly written to disk on IE's behalf, which means they fail the checksum or CRC check (error checking) when the installers run.
Okay coder speak aside. Here's something that's worked for me. Use Firefox for your downloading when it happens, or something else to download. IE sucks. Firefox will write the file directly and cleanly. Also disable anti virus or spyware scans at the time of the install, as they can slow the read/write of a drive enough where the installer may get confused that it's getting a bad stream or problem.
Also download to a different location. A different drive preferably if you have one. Don't do an overwrite. There is some logic behind avoiding a badly fragmented drive in general, but this is a be-paranoid-to-be-on-the-safe-side suggestion