|Where the game was downloaded from is obviously pretty relevant. If it was downloaded from a legal source - i.e. a retailer if a commercial game - then the retailer should be able to offer advice. Often it's just a question of repeating the download.|
If it was downloaded from a less reputable source then the file could be literally anything. (It may say it's a game, but who knows; it could be something far more sinister. Never trust anyone on the Internet.) The error message may just be a ruse to hide the fact that you now have something nasty running on your computer. If that's the case you will, of course, find out sooner or later - the sooner the better.