I am trying to download movies from the official Playstation Store but I get the above message. I tried using a USB stick but the download just went very quickly and the USB stick was still blank.
I have paid for these movies. Why will it not save directly to the hard drive?
This message is normally displayed when you are trying to download an unsupported file format but this would not be the case if your downloading from the official Store.
Do you have enough space on the HDD? You can check the available space by going to Settings > System Settings > System Information.