What type of file is it?
A corrupt file is one that is supposed to be of a certain format or type, but for some reason the information in it has become damaged.
So for example a movie file might be called "holiday.wmv".
Inside that file will be information saying what type of file it is, how long the movie is and so on.
If you use say Windows Media Player to play that file it will look "inside" the file to find out more about it.
But if the information inside the file is missing or corrupt then Windows Media Player probably wont be able to play the file and give you the "corrupt" message.
One way a movie file could be corrupt is that if only part of it has been downloaded.
Maybe it should be 6 minutes long, but only the first 3 minutes have been downloaded.
That would be a corrupt file.
Of course a file can be corrupt for all sorts of reasons.
Having one corrupt file on your computer is not a major problem (unless it is part of the Windows operating system of course)