This behavior can arise when the message is very large, or corrupt.
Sometimes the message just takes a very, very long time to download; dependent on the speed of your network link and the size of the message.
If your provider offers web mail access, that can be used to delete the message.
If it's your local system that's involved in this (partial or corrupt download), go off-network, and use the Apple Mail.app Mailbox > Rebuild option to rebuild your mail folders.
Also ensure you're running recent OS X software (you don't list versions), and - in general - I'd recommend using IMAP over POP where both are available from your mail provider.