A 0 byte file means that it never downloaded due to the connection being interrupted for some reason. What happens is the remote connection is established, the file name is allocated, the data downloads and fills in the size when completed, and the file connection is closed.
There are a couple of causes of this. If you are using a wireless connection, ensure you have a strong signal. These tend to kick out if the file is very large and the downloads never complete.
The other issue is the antivirus. Ensure that your antivirus is excluding .CDP files from scanning. Generally, there's little concern for these being infected due to the kind of files, but antivirus programs get giddy over CDP archives and will delete them.
