no, i wont agree, am pretty sure the download was complete, ive seen this errors myself, what OS are you running this on ? 2000 ?
edit : i suggest you download the newest windows installer HERE.
are you getting only for ethreal or other installers ?
you can also try renaming the file to another name (don't remove the .exe though)
This happened to me when I downloaded the free version of AVG. I got the same error, and when I downloaded the setup file again, the problem was resolved. So I suggested the same here.