Most likely the file is in fact corrupt. You can do a manual MD5 Check to be sure.
Before you download the installer again, you should also clear your browser cache.
If that's not working either you could try disabling download managers if applicable, or downloading through a different browser, until the file passes the test.
MD5 Check
Please download and install
Hashcheck.
Then unzip and copy the attached MD5 File into the folder that contains the installers you downloaded from Telltale.
Finally just double click on the .md5 file for verification and tell us the results.
Green: File is okay.
Yellow: File is missing.
Read: File is corrupt.
Deleting the browser cache:
Before downloading the game again you should delete your browsers cache/temporary internet files so that it is not loaded from there:
Internet Explorer 7: In the menu choose "Extras/Delete Browsing History...". In the resulting Window select "Delete files..." for "Temporary Internet Files".
In recent Firefox and Internet Explorer 8 you can delete the cache/temporary internet files with CTRL-Shift-Del.
In Firefox you would only select "Cache".
In Internet Explorer only select "Temporary Internet Files".
Uncheck all other boxes in each case.
After installation check if the error still occurs.