It sounds like you may have received a corrupted download. That can happen because of broken network connections, noisy phone lines or other problems with the routing of your connection over the Internet. All you can do is download the TweakMASTER installer file again until you get a valid download, or download it from someone else’s Internet connection.
The download files on TweakMASTER download page have been tested and are complete and not corrupted. Please download from one of the links there.
There is one other possibility. If your system is infected with some sort of virus, which is not uncommon these days, then you might also get a notice that the setup file is corrupted when you try to execute it. You may want to make sure your antivirus software is up to date; this is always a good idea in any case.