The first thing you should do is to make sure you are using the right program for the job. There're numerous which will do the job but if you're not sure, it's best to use 7zip. Please read this post for more info.
Secondly,(after making sure that you have inserted the correct password, if there is one) you should check if all the files downloaded have the same size, except the last file. The image below is an example of completely downloaded file.
If any of the files (except the last one) have a different file size, that means that file is not completely downloaded. You'll have to redownload the file.
However if you still encounter the problem, then it's most likely it's the last file which is incompletely downloaded. Try redownloading it.
