I recently bought the game Gabriel Knight 2: The Beast Within.
I installed via browser, and saved all three files to a separate folder. However, when I try to install the game, I get the same error.
The source file Gabriel Knight 2/Movies/6900.VMD was corrupt.
Any ideas on what to do?

Compare sizes of each files with what is specified on a game card in "My account". If one of them is shorter than it should, redownload it.
If they seem to be OK, redownload them all. If you get different error or no error at all, then files got corrupted during the download somehow (HDD\RAM glitch or something).
If it doesn't help... Post again so that other possible sources of problem could be considered.