No worries. There could be a million reasons for corruption. It could be a problem at the Adbove site it's sucking info off of, it could be a problem with NetZero (unlikely), or it could be noise on your phone line that is corrupting the file(s).
Not much you can do in this case. Your options are:
Try the broadband version. It'll take MUCH longer to download, but it'll download it all in one piece.
Find a friend/public computer space with broadband, invest in a USB flash drive, and download it there, plop it on your USB flash drive, and carry it home.