The game downloaded a file but could not write it to the hard disk. The most common reason for this is running the game directly from the dmg file instead of installing it properly to your applications folder. Other things could also cause this error such as system permissions being set so the game cannot write to the disk, your hard disk being full, hard disk quotas, security software preventing the game from writing to disk, or running the game from read-only media such as a cd-rom.
Edit: It occurs to me that this may also be a bug related to having a long directory name. I will investigate.