It confirms that the file you have matches the one the website says you *should* have.
That doesn’t prove that it’s a nice file or the one you *want*, of course. If you download from a malicious website you’re going to get a harmful file. It just establishes that the file hasn’t been tampered with or corrupted during the download. Or if you got the file from someone or somewhere else, you can check that it matches what the original website says it should be.
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