PGN Files

I have downloaded several .pgn files of my games to be reviewed later.  None of the chess playing software I have can load the files dowloaded. Questioning the provider I am told that the files are corrupt. Is anyone else have this problem? Does anyone know what I can do to get these files to work. I have loaded them into Notepad and played thru them in Chessmaster and saved the file there, but that is a lot of effort for something that should be easy.