It turns out that the archive is protected by a password (encrypted). How can I find the password? Answer: For RAR archives there is a shareware tool (that can try a brute force or a dictionary attack. The brute force attack for passwords of more than 5 characters takes pretty long already, the dictionary attack is more promising. The shareware version only searches passwords up to a length of 4 characters, I found. If the file came from the ed2k platform (edonkey), then you may want to look for comments on the file.
Unfortunately you cannot view comments once the file is completed, so you'll have to move the archive out of the shared folder, then search for the file again and start the download again. Wait a little, and you can - hopefully - view comments on it. Possibly one of the comments will indicate the password.