I've downloaded the game (3 files and a patch) and put them in one folder. I ran setup and it showed me an error and advised me to turn on the integrity check. I did, so when it comes to the first .bin file the check fails and advises me to download the file again, which I did. However, the problem persists still. I've downloaded the setup file again too, but no change.
Any idea please?
Thank you.

Thanks. I will do it now and see if this solves it.

Can you check the MD5 of the files you have.

Here is what I have

setup_the_vanishing_of_ethan_carter_2.0.0.2-1.bin - 0c05c24009cda81d61bca8aa541d9014
setup_the_vanishing_of_ethan_carter_2.0.0.2-2.bin - a288ff83417195ec1b18d38d8d3ad767

Thank you, it works now when downloaded with GOG's. Thanks. It worked now when downloaded with GOG's downloader.