Hello,
If the file is to large to download across your data connection with your mobile operator, you can do one of the following.
1st - Connect your phone to a Wifi hotspot or your home wireless connection. Then go to Marketplace and manually try again. The file will download across your home wifi.
2nd - You can connect your phone to your PC running the Zune software. Let the phone sit and it will download the application in the background. This method it uses your connection with the PC and the Zune software to establish a pass-through internet connection for the device through your PC's internet connection to download the application.
You do not need to reset your device to start this download.
Thank you,
Eli