Are you trying to do it on your computer or your phone? Has it worked on this computer or phone before? If so, when did this start? Does it happen every time you try to download something now? Are you able to connect to the internet using other applications? Are you running any security software? What version of iPhone and software are you using? Have you tried connecting to Wifi instead of 3G or vice versa? Do you get any specific error messages?
More info would be good.