Verified answer

The download is likely corrupted and needs to be redone (clear your Internet cache first to make sure you get a fresh copy).

However, if you see problems extracting large archives in general (for example, large ZIP files), this can be a sign that your system RAM chips have gone bad. You will need to run a RAM test to confirm this. If you are on a Windows PC, the built in RAM checker misses some problems, so use CarnardPC Memtest86+ instead.

Error Decompressing Data Corrupted Installer

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When somebody packages a game for Windows, they create a program called an Installer that copies all the files to the right place, updates the registry and other system modifications that are necessary. If the data in the installer is corrupt, the program will not install properly, and Microsoft has a feature to prevent any damage to the system from a bad installer. You need to contact the vendor, the company that distributes the game, and see what they have to say.