I'm assuming you're downloading either a demo or a legit patch, as opposed to a CD rip of a game you don't own.
What that means is just what it says--that the disk mounter can't find any valid filesystems on the image. Usually what this means is that it's a corrupt disk image. It might be in a format that the MacOS doesn't recognize, but that's unlikely.
Worth noting that there are a few circumstances under which the OS can freak out and refuse to mount perfectly valid disk images. I've seen this happen once or twice under 10.3.9, although in my case a restart fixed it. Other people have had more severe and difficult-to-figure out problems with the same symptom, but you'll have to Google for suggestions on that topic if it's your issue.
oh you respected gentlemen, and your internet vigilante attitudes. I can see fingers get pretty tired of "assuming it was purchased" 200 times in different forums.
Why don't we find a solution, I like this problem, it's one of those underrated and ignored ones.
oh, don't worry, it's not a stupid question at all, have faith, the answer will come.
I vote for "no mountable file systems" in top 10 mac issues!