This error message most often means that your connection has been interrupted partway through a download, and less often but fairly frequently means that there is an issue with your transaction when trying to download the application.
Update: for your specific case, this might be the source problem.
Common root causes:
- poor internet connectivity. try switching internet connection, restarting your iphone, restarting wireless routers between you and the internet, or simply waiting until a less busy time (try downloading large apps at night, if you're on a perpetually slow connection). There's a very slight chance that this might be hardware damage to your phone's antenna and/or wireless connection chips, which would be best diagnosed at an Apple store.
- corrupt credit card or other account information in the iTunes store. Log in to your account with itunes, and review all of your information (has your billing address changed for your credit card?)
- space issues on your iphone. There might not be enough space on your phone to download the application. There are specific error message for this kind of problem, but they are sometimes masked and show up as above.
- Undefined or unstable software configuration. Download status, or other, store or net connectivity related information may be in a corrupt state on your iphone. The least thought intensive solution is to back up your phone, wipe all data, reinstall the OS on the phone and then restore the data from backup. There are much simpler solutions if you can identify specificaly that it's data corruption, and the potential causes for the data corruption. Please note that some states of data corruption (such as might happen if you've been messing with unlocking the phone) might not be fixable like this - you might have to remember what you did, and undo it manually.
- Hardware, connectivity or other problems on the iTunes store server side This doesn't happen frequently, but when it does, can leave you disconnected from the store for a day or two, sometimes longer. (imagine, for example, if the store is experiencing a DDoS from somewhere on your network). Wait a week, then try again. Occasionally (very rarely), it's be worth rebooting the iphone after you've waited, and before trying again
If you've tried the easier solutions to the most common problems, and they haven't worked out, go to the Apple store and have a technician look at your phone. They usually have tools that will help quickly diagnose the more common, but harder to discover, problems, and won't usually charge you anything other than your time waiting, for finding the problem.