I was downloading the program onto my computer and get this message when I try to install. I have a feeling that the download was interrupted. Can someone help me?

Just to be on the safe side, you might be better off re-dwnlding it just in case. However, it might be an idea to run your utilities (3rd party if u have them, particularly DiskWarrior/Norton utilities) to check your HDD beforehand.

Apple's error list seems to jump from 33 to 40. I did locate a -39 error eofErr End of file; no additional data in the format, File System Error. Quote: Type -39 error (Logical End-of-file reached during read operation)

The Macintosh was expecting a marker to show it where the end of the file is on the disk. That marker is either missing or is in the wrong place. A crash is the most common cause, however a disk error or corrupt file can also cause this.

Solutions: Recovering the file frequently fixes the problem. If it does not, make a clone of a backup, open the clone and try to import from the file that is giving the -39 error message.
In other applications, using an Import or Insert command from inside a new document frequently works around the problem. You also might move/copy the file to another volume.