Summary from MSDN on File Exist method:
The Exists method should not be used for path validation, this method
merely checks if the file specified in path exists. Passing an invalid
path to Exists returns false.
To check whether the path contains any
invalid characters, you can call the GetInvalidPathChars method to
retrieve the characters that are invalid for the file system. You can
also create a regular expression to test the whether the path is valid
for your environment.
For examples of acceptable paths, see File. Be
aware that another process can potentially do something with the file
in between the time you call the Exists method and perform another
operation on the file, such as Delete. The path parameter is permitted
to specify relative or absolute path information. Relative path
information is interpreted as relative to the current working
directory. To obtain the current working directory, see
GetCurrentDirectory. If path describes a directory, this method
returns false. Trailing spaces are removed from the path parameter
before determining if the file exists.
The Exists method returns false
if any error occurs while trying to determine if the specified file
exists. This can occur in situations that raise exceptions such as
passing a file name with invalid characters or too many characters, a
failing or missing disk, or if the caller does not have permission to
read the file.
Sample code also from MSDN:
string curFile = @"c:\temp\test.txt";
Console.WriteLine(File.Exists(curFile) ? "File exists." : "File does not exist.");
Link where I got all this info:
http://msdn.microsoft.com/en-us/library/system.io.file.exists.aspx
UPDATE
Based on your comments you are looking to first check if the file exists which my original answer will solve.
Second you want to verify what you downloaded is the same as what is on the server. For that the easiest method is to compute a hash of the file and compare it against a the hash of the file on the server if they are equal then the files are exact copies of each other, if not then something went wrong in the download.
Check out this MSDN link for MD5 hashing
http://msdn.microsoft.com/en-us/library/system.security.cryptography.md5(v=vs.110).aspx
Their example is pretty complex but thorough, so look it over and then maybe do some searching for a more simple implementation.
Related SO question: Calculate MD5 checksum for a file