Some .dmg files aren't recognized

Hi, I recently just got a new MacBook Pro, after being a PC all of my life. I really love it. Although I did find one problem.
I download GIMP from their website, the Mac version, of course. It downloads correctly, moves into my downloads folder. I click on it, and get the following error:
http://i601.photobucket.com/albums/tt98/VMKComic/Error.png Please click the url to see the image
I did download the correct version.
This happens with some other programs, but some program downloads DO work. Such as AIM, I had downloaded that, and the installation worked.
Can anyone hep?

The error means that the download did not complete intact. Try downloading the file again. This will happen on occasion if there is a connection problem between you and the server from which the file was downloaded.

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Some .dmg files aren't recognized

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