It's hard to answer without more information. It could be a software error, or it could be something as trivial as the card being full.
Could you post again with more information about your phone, such as what model, what software, how much free space, whether the problem is just pictures or other downloads, whether it depends on what you are using to download? Sorry for all of the questions, but without knowing more it's very hard to guess what the cause of the problem is.