A CPZG file extension indicates an incomplete or partial download caused by interruption to your internet connection.
Try downloading again ensuring you have a good connection and your machine does not go to sleep during the process.
Using a download manager can help minimize any problems downloading large files, allowing you to pause/resume the download. Download here For Chrome or Firefox. If you're a Mac user, you may also like to try installing The Unarchiver for unzipping the file rather than OSX's Unarchive utility.