If you are using Internet Explorer, then try downloading your file with Netscape.
We have had a handful of complaints with IE and downloading nerCDF files. If switching browers does not solve your problem, then note the size of the file you are trying to download. netCDF files must be smaller than about 2GB in order to be downloaded. If your file is larger than that, then try to trim it by focusing on a particular geographic region or time period.