It may happened if your network connection is too slow (for example, download speed is less than 10 KB/s). If the network connection is fine, please try the download again. Please also check if your application/proxy/network has some limitations
on the max response returned by a server.
I agree with Ming - what download speeds are you getting? Are you able to task manager to see this? It'd be great to know how much of the file is downloading before you hit this error, and whether that value is consistent on each attempt.
Actually, the most likely cause for this is the timeout. By default, the download operations have a 90 second timeout. If the blob hasn't completed downloading in that time, then this exception will be thrown.
Create a BlobRequestOptions object like this (this one results in a 10 minute timeout - you should choose a time based on expected download rates and acceptable wait times):
BlobRequestOptions options = new BlobRequestOptions();
options.Timeout = new TimeSpan(0, 10, 0);
And then pass it in to the Download method. Hope that helps - if you increase this time, and you get the exception above in less time than the timeout specified, then there may be something else going on.