What CF Card is installed in the camera?
A large number of problems are caused by incompatible CF Cards. In many cases these cards will work while shooting but can fail to properly download to the computer. You must be extra careful that the card is approved. Actually look up the card you are using in the manual to see if it on the list. Many retailers include “Unapproved” cards in their bundles, so just because a card came with the camera doesn’t mean that it is “Approved”. If in doubt, use the “Nikon Starter Card” for testing.