I'm not sure why IE is giving you errors (I've used IE to download .tar.bz2 files onto my windows machine and then moved them to my linux box as well, without errors), but you can check the md5sum after you download to check whether IE is giving you the problem or the problem comes when moving it from your windows box onto your USB key. Download the windows md5sum checker (from any of the links at the bottom of this
page and install it onto your windows box. Then download the .tar.bz2 file and then run (from the command prompt)
You can check the alphanumeric string that it spits out against the one listed on the site to make sure that the file downloaded properly. Do the same before and after you transfer the file onto your USB key to see if the error is occurring there.