It could mean a number of things and I think in general the file is unlikely to be dangerous BUT a virus check is ALWAYS a wise precaution. You may well manage to download the file and find it won't open, so you trash it. Sometimes it will self destruct and you will NEVER find it. You may find it plays perfectly, and may just be a second or two short. If I find the file plays OK I reconvert it to mp3 using iTunes (If you have iTunes you will realise that is not a stupid remark
) and delete the original. If it is incomlete and I cannot replace it with a complete copy I will share it clearly labelled as incomplete.
You will probably have to extract a corrupt file manually from the incomplete folder before clearing the inactive downloads as that action tends to delete "corrupt" files
If the file is a modern chart type file ( of course no one ever downloads such things
) I would delete it straight away and find another copy. Many of the corrupt files come from T3 sourse and I would delete these if they show as corrupt.
I hope this helps