I get wrong file when I download it by C# code

Unzip file and write.

        string remoteUri = "http://members.tsetmc.com/tsev2/excel/MarketWatchPlus.aspx?d=0";
        string fileName = @"g:\temp.xlsx";

        using (var client = new WebClient())
        {
            using var stream = client.OpenRead(remoteUri);
            using var zipStream = new GZipStream(stream, CompressionMode.Decompress);
            using var resultStream = new MemoryStream();
            zipStream.CopyTo(resultStream);
            File.WriteAllBytes(fileName, resultStream.ToArray());

        }

If you look at the response headers provided by the remoteUri, you will notice that the particular endpoint is actually serving content in compressed format.

Content-Encoding: gzip

So the content you get back is not a direct excel file, rather a zip file. So for the piece of code to work, the file name should be temp.zip instead of temp.xlsx

private void downloadFile()
{
    string remoteUri = "http://members.tsetmc.com/tsev2/excel/MarketWatchPlus.aspx?d=0";
    string fileName = @"g:\temp.zip";

    using (var client = new WebClient())
    {
        client.DownloadFile(remoteUri, fileName);
    }
}

Having said that, inline is a better approach to download the file. Create an instance of HttpClient by passing in a HttpClientHandler which has the AutomaticDecompression property set to DecompressionMethods.GZip to handle Gzip decompression automatically. Next read the data and save it to temp.xlsx file.

string remoteUri = "http://members.tsetmc.com/tsev2/excel/MarketWatchPlus.aspx?d=0";
string fileName = @"g:\temp.xlsx";
HttpClientHandler handler = new HttpClientHandler()
{
    AutomaticDecompression = DecompressionMethods.GZip | DecompressionMethods.Deflate
};

HttpClient client = new HttpClient(handler);
var response = await client.GetAsync(remoteUri);

var fileContent = await response.Content.ReadAsByteArrayAsync();
File.WriteAllBytes(fileName, fileContent);