Depends what type of file it is. It means that the hash file that was initially downloaded at the time you chose to download it, doesn't agree with the final file. This can be for numerous reasons. eg: someone changes the id3 tag of an mp3 after you chose to downlded it, or gave a file a description or different description to what you are downlding. So it doesn't necessarily mean the file is corrupt. But it might be. Best thing is to continue & see if the file is ok after all.

Corrupt can also mean there's some missing bits or bytes, or the file was damaged in some way during transfering such as due to an aggressive firewall or anti-virus utility, etc. Or that there was data that was misplaced during transer.