If it's corrupt, it's corrupt. I bet you used a dial-up connection for the download. Check for CRC errors in your connection. Many modems can give you an AMAZING amount of information about the type and integrity of connection you're getting. Typically, giving them an appropriate AT command will return the information, provided these features are supported. For example, if you've got a US Robotics modem, you can use ATI6 and ATI11 commands to see what's going on.
Errors are often caused by noise on the line. Nine times out of ten, there's nothing you can do about this, but sometimes the noise is induced locally (phone line running around a power supply, coiled up near a transformer somewhere, etc.) or could be the result of a poor electrical connection somehwere, a bad jack or plug, etc.
If you're using a crappy software-based "modem", such as an RPI, Win modem, or HSP (Host Signal Processing) type device, you might want to try
1. Reducing the load on the system, stop all applications except for the download, kill processes running in the background you don't need, lower the video resolution and color depth, etc.
2. Getting a real hardware-based modem
Some modems provide better error-correction than others. You might want to make sure you're using the actual modem driver from the manufacturer rather than a generic driver that doesn't support any additional error-correction your modem may provide. You may be able to set any additional error-correction features using AT commands.
You might also want to update the modem's BIOS, if this is possible.
You might also want to slow down the connection. If the modem is negotiating a v.90 connection, you might want to specify a v.34 connection instead. This can be especially helpful for some HSP modems, particularly those with a PCTel chipset.
If your BeOS PE download got corrupted, there's a good chance that other things (service packs, device drivers, BIOS images, etc.) might possibly suffer the same fate. An error-prone connection can cause all sorts of problems.