I followed a link to a download a site called Sourceforge and saw a message about mirrors. The download seemed to arrive normally but what did the message mean?

A mirror is a different website that has offered to make a download available, sharing the work of transferring the file. The idea behind calling it a mirror is that it should be a perfect reproduction of the first site.
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As long as the link to the mirror is from a reputable site such as Sourceforge then there is no need to fire up your radar detector and start worrying. If you are given a choice it is a good idea to pick a mirror as close to you as possible but, as the difference in speed is negligible, don’t worry too much about making the decision.