If it says the file or location is corrupted when you try to move it into your MicroSD, you need to format it. Before you format it, move all your files onto your computer so you won't lose any data. To format your MicroSD, go to Computer>Removable Disk (E>Right Click>Format
If it's corrupted when you try to extract it, chances are you have a failed download. Use a download manager like FlashGet www.flashget.com
Well, it's not the download that failed - if you extract it with WinRAR, the file can easily get corrupted.
Not really though, disconnected download can make the downloaded file corrupted. Use a download manager when downloading like what Tirith said.