if you tell more and better about the problem, such as:
1. What you mean with 'downloading'. The best way if it's something to be run by Windows or opened by a program: download to your hard disk, then run from My Computer or run that program to open it (using it's File>Open command or so). Do that and tell exactly what happens.
2. What the exact error message is. I don't think it is "you have diagnostic problems" and "the files themselves are corrupt". Moreover, it could well be that the message is different for different types of file.
3. Now the interesting part. Download a file that generates such a message. Then find another PC on another location and download the same file from the same source; put it on your USB-stick. Does it look like the same file (size in bytes); does it behave the same way?