Czuch: I faced this problem too. It just getting corrupted during the download since the connection speed is not good i guess for some reason.
My son solved my problems when he told me to use a download manager to download the file. He installed on my computer the program flashget and if you try to download with it then you will have your file with no problem.

Then you need winzip or winrar to extract the games of the file into PGN format.
Unfortunately for example for Loop Chess the games are 20000 so when you extract them in a folder Windows are very slow to handle and anyway it's just too tough to do anything with them having to open each one separately each time.

So my son saved me again by showing me a way to join all these PGNs with single games, into one big PGN with all the games.
Just create a BAT file and write:
for %%f IN (*.PGN) DO type %%f>>collect.out
ren collect.out FINAL.pgn

Don't ask me what are all these, i don't know. But it does the work.
Then inside the folder with all the games run the bat file and at the end you will have a PGN named final.pgn with all the games. Now you can delete of course all the 20000 single PGNs.

And then you can handle this PGN with ease.