The file is not corrupted. I downloaded it and it opens fine.
The 5D Mk II has two sRAW formats, which allows a smaller RAW file than the 22 megapixel native size. The sample photo you have linked is a larger of the two sRAW types the 5D Mk II supports, 9.9 megapixel.
Different raw processing software has problems converting the sRAW files though. If you have Photoshop CS4 and a relatively new Camera Raw software. Camera Raw 5.5 mac/win is current, although there is a prerelease Camera Raw 5.6 version on Adobe Labs, you'll be able to open them.
EDIT: If you have an earlier version of Photoshop, you can use the DNG Converter (mac/win) to convert the RAW file into something you can open in an earlier version of Photoshop. However, I think you'll find if you shoot with the full resolution RAW format, it's more compatible than the sRAW formats.
EDIT2: Screenshot of the converted image: