Have you installed a software firewall recently?   Or anything similar?   I've heard of this problem occurring with certain firewall software. 

Zokah probably hit it on the head.  Some browsers will 'quietly quit' and say that the downloaded file is complete, even when it isn't.  I've had that with some of the cheezier file hosts, too.  Rapidshit, MegaUpload and Hotfile downloads will be flagged as an error if they terminate prematurely, but several I've seen will NOT be noted as an incomplete file if it's terminated from their end, 'cos they send out an END TRANSMISSION packet.  The crappy hosts cut you off in the middle of a download if their load gets too high to protect their bandwidth for the few paying spammers customers.

Also, if you're on dial-up, the lines could have gone to hell somewhere between you and the local trunk.  The error rate on dial-up is WAY higher than on cable modems, roughly 100 times worse.  It goes up astronomically if the connections degrade.

Spyware can cause it as well, since many of the nastier rootkits will run your browser through their proxy so they can see what you're surfing for, and to suck your bank passwords.  Most proxies will cut a file off prematurely, although when/where they cut it off varies.  You'll have to check for that in your browser's connection settings.

To figure out where the errors are creeping in, we'll need more detail.  The test Zokah recommended will tell you a lot.  Make sure to right-click and check the file Properties to get the exact file Size: (not the Size on disk: number), and not that rounded-off KB number that Windoze gives you for the general file info.