That means you haven't managed to downloaded the full file, but have a partial download. That's what the error message means: 'unexpected end of data' -> 'there should be more of this file'.
Redownload the file and make sure the archive is as large as it is supposed to be.
EDIT:
If downloading through keeperklan or lubiki is giving you trouble, try a mirror.
KeeperFX main release or Unofficial 0.4.6