You will receive this error when your download was interrupted resulting in corruption of the game file. To resolve, please delete the file, empty the trash and try downloading again.
You will also want to check that any firewalls are configured to allow the download. In addition, please stop any other activity on your internet connection to maximize the bandwidth.
If you wish, you can use a download manager made for Mac (i.e., iGetter) to ensure the integrity of your download.