For a NEF file this typically indicates that the raw data is corrupted. You can see the file on the camera or the thumbnail on the computer because the embedded JPEG is intact. You'll need to first try restoring the file using one of the many image recovery programs. Next, if it happens more than once you need to determine what's causing the problem. It could be triggered by an interaction between the camera's write mechanism and the card, it could be triggered by the transfer of the image from the camera, and it could have occurred on your computer itself. Taken in reverse order: (1) do an integrity check of your computer's drive (e.g. Disk Utility, Disk Warrior, or Drive Genius on the Mac) and fix any problems you find; (2) try different transfer methods, cables, and card readers; and (3) do continuous high speed bursts on your camera with the card which fill the buffer. If you see any repeat of the issue in step 3, try different cards. If you can isolate it to a card, try doing a low-level complete format of the card and repeating, and if it persists, replace the card.
Special note: with the most recent Nikon DSLRs, don't use Nikon Transfer version 1.x. Use the Transfer version in latest version of View NX-i instead.
