I am going to assume that you are downloading parts of some images that have previously been deleted.

That means that the FIB (file information block) on the memory stick is corrupt.

You need to Format the memory stick with the Camera.
Since a Format will erase all the photo on the Memory Stick,
be sure and save to the computer - any photo files you want to keep.

Then use the Camera to Format the Memory Stick.
Look in the User Manual to see how to do a format with the camera.
A Format will write a new FIB on the Memory Stick.