I have never checked and compared the MD5 hash to the real MD5 hash at programs homepages. Programs which I have downloaded have always worked.
Is it possible that someone can put their own code during downloading?
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A hash provides a (sort of) unique identifier for a file based on its contents. With lossy connections and poor transmission methods, as well as malicious file copies floating around, a hash provides a way of proving your file is the same file you tried downloading from the server.
You validate it by hashing the copy of the file you got, and seeing if the hashes are the same.
People can inject nasty code, change out the file being downloaded, or you could just get a corrupt download.