Lt_Wolfman: On a win xp 32 bit the file is even too large for the OS/downloader to handle. Unfortunately, it doesn't say so on the gog.com GRID page. (Rather the opposite, by claiming win XP as System Requirement)
I had this problem as well I informed GOG about it. What I figured is that the XP stock unzipper is unable to unzip such a huge file. So I downloaded WinRAR trial version and it extracted it no problems, and I am now running GRID and loving it just fine on my XP 32 bit. I didn't try it but I think it's likely that the unzipper 7-Zip which is completely free will probably work too. I didn't try it however (I forgot about the program actually) but you can download it here:
http://www.7-zip.org/ Then just extract your GRID file (*EDIT: THEN install it like normal) and get to racing! I hope that works for you. :D
(Remember if 7-zip didn't work that WinRAR worked for me, but it's more of a hassle I think)
If neither works then maybe your computer is using a FAT 32 partition. Give it a shot though, and good luck.
EDIT2: I'm sorry, but since you were a bit vague, I realized that its possible as well that your problem had something to do with the downloader/download itself and not after the fact like it was for me. In my case, what happened is after I downloaded the program I went to unzip it and a error message popped up saying it was invalid or corrupted.
If the problem was your download didn't finish, I'm not sure what to tell you. I was having that happen to me all the time until they updated the downloader for the 5th (or so) time and it seems to not be hanging at the end like it was (for me) a few months ago. Sometimes when it hanged at the end, if you wait a little longer it will finish by itself, even if the downloader says it's not done. At least that was my case several times. Now if you're using a FAT 32 partition I think you are out of luck since it apparently can't handle files bigger than 4GB (but most people use NTFS for XP).
I am with you guys, I fail to understand how lumping the file in one big download is useful for us paying customers. Apparently, it may be slightly more convenient for a few people? But it just seems to be causing a lot of problems for many more, and I wish I knew why exactly they chose to do it this way. I was lucky, I got GRID to work, I hope you will be as well, no matter what your problem may be.