Could be a few reasons. Sometimes the actual file is fine, but at the time you selected to downld, LW downlded the hash of the file. Then at a later stage the person hosting the file changed the id3 tag/description of the file so LW detects it as being different. Such files are actually fine & will play fine.
But then you have the MIAA & related sponsored groups who deliberately spam the network with fake & corrupt files.
Another reason for a corrupt file might be data loss between you & the host. This could be a line issue, router issue, firewall or AV, etc.