Low disk space is most likely cause. Next is bad internet with corruption in the downloaded files, but if I remember correctly, you get a different message for a corrupt file.
Depending on which expansions you download / have, space requirements vary from 1GB for the base (original) game to at least 8GB for all current expansions, and maybe more depending on how much temporary space you need for the download procedure.
I generally recommend 10G minimum for all expansions that not including space you need for temporary files, and swap file, if you let windows adjust it's size. If your swap file varies, give another 2-4GB for it, plus space you need for temp files, which I generally recommend a minimum of 1G for that.
There could be other reasons, but less likely and more obscure, although bad hard drive sectors is another potential and less than rare cause.
Yther Ore.