Snow Leopard is the version of Mac OSX slated to be released in late 2009, if you do not have Snow Leopard you should use the Leopard version.
* Leopard = Mac OS X Version 10.5.x
* Snow Leopard = Mac OS X Version 10.6.x
(you can find this by clicking on the apple at the top left of the screen, and clicking "about this mac")
Try downloading from a different browser. If you downloaded the .dmg and it was corrupted, redownloading in the same browser could very well try to open up the already-corrupted version.
Other options are to try to find a mirror of the file, although I would first try the download in another browser, as it's unlikely the released .dmg is corrupted on Apple's side.
Also, if you are behind some sort of Firewall, it is possible that the download is being blocked. Some companies serve up a generic message, like:
Access Denied (content_filter_denied)
For assistance, contact your network
support team.
Instead of the contents of the webpage or file you are trying to download. It is possible that this message is being downloaded in place of the file, and saved to your computer with the name of the file you are trying to download. (This is actually what the problem ended up being in my case).