I have had a look around and couldn't see this answered in troubleshooting or in the borderlands forum.
Basically the 1.41 trainer link seems to be broken, the file can be downloaded but the file appears to be damaged and winrar/winzip is unable to open it.
The retail 1.41 trainer downloads fine however so I assume it is an issue with the Steam download rather than my machine.
I hope you can help.
Options to try:
1. Adding the file to the exclusion list. You may have to do option 2 to download it first.
2. Disable your Anti-Virus. Sometimes AVs do not have an exclusion list or it does not work very well.
3. Uninstall your Anti-Virus. Some AVs are poorly designed to the point where disabling it does not actually disable it. A good replacement AV is Microsoft Security Essentials which provides the least compability issues with CHU trainers and it is easy to allow trainers to execute if it does detect a trainer as a false positive.
This threw me off slightly as it hasnt done this to me before and treats all the other files that I have downloaded here normally. Switching it off then back on after downloading did the trick.