Sounds like you're downloading the files with an old version of Nikon Transfer.
You can fix the corrupted files with this: http://owl.phy.queensu.ca/~phil/exiftool/fix_corrupted_nef.html
Meanwhile you should update your Nikon software, or use Adobe Photodownloader instead.
The fix worked!
It appears that the Nikon Transfer software is not available anymore.
Could you recommend a replacement or should I just use Bridge?
I didn't find Adobe Photodownloader at the Adobe Store.
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I don't use the Nikon software, but I believe that the latest version of Nikon Transfer works fine. I think it comes with ViewNX2, which is a free download, AFAIK.
I personally download my photos using a card reader and Adobe Bridge (which comes with Photoshop, and contains Adobe Photodownloader). Not sure, but I think it's included with Lightroom & Elements too (but I don't use those either). Using Photodownloader has the added advantage of being able to add metadata at the same time.
Just tested Photodownloader thru Bridge and happy with it.