Usually, this error is being thrown when you try to download a file that isn't available on the server anymore. When it comes to mobile devices, this can appear due to some internal errors of the OS or the application that you use. This problem has a really simple solution. You need go to under Menu > Settings > Application > Manage applications > All tab, tap on the application in which you received the error and clear its Cache and Data by tapping on the corespondent button. After this is done, start again the application. You shouldn't encounter the error message anymore.