"Unexpected EOF in archive" when opening backup

I was doing a full backup of my site in cPanel. I downloaded the backup file (a .tar.gz file). The archive manager reported the following message when I opened the backup:
"gzip: stdin: unexpected end of file
tar: Unexpected EOF in archive
tar: Error is not recoverable: exiting now"

This is my first backup attempt. What does this mean and how do I fix this? One of my friends has also had this problem.

Now I don't have a backup and am trying to recover my data from WordPress.

 

InstaCarma, thank you for the reply. I downloaded the backup in a different browser (Mozilla Firefox). It downloaded and opened fine.

As for the suggestion to try renaming the file, I deleted the .tar.gz extension and then opened the corrupt backup. It showed me that there was a file in it, but when I tried to extract it, it couldn't open the tar file that was in the gzip file.