This means your connection was interrupted during the download process. Go ahead and empty your cache manually and re-download CCleaner from the official Web site at http://www.ccleaner.com/.
To clear cache/cookies in Firefox (Recommended):
1. Click the Tools menu.
2. Select "Clear Private Data."
3. Check the box for "cookies."
4. Click "Clear Private Data Now" button.
5. Close Firefox. Wait about 10 seconds and re-open it.
To clear cache/cookies in Internet Explorer 6:
1. Click the Tools menu.
2. Select "Internet Options"
3. Under the sectioned Temporary Internet Files, click the button "Delete Files."
4. Check the box, "Delete Offline Content"
5. Click OK. It may take a few moments to clear, then click OK again and close and re-open the browser.
(Microsoft has more information on clearing cache in IE6, here.)
To clear cache/cookies in Internet Explorer 7:
1. From the Tools menu, select Internet Options...
2. Choose the General tab.
3. Under Browsing history, click "Delete..."
4. Next to "Temporary Internet Files", click "Delete files..."
5. Click Close, and then click OK to exit.