I've also seen that error. I don't know why, but disconnecting the modem first sometimes helps (don't do this unless you're connected locally by LAN or console):
AT+CGACT=0,1
AT+QFOTADL="http://get.dyn.mork.no/nr7101/RG502QEAAAR11A03M4G-RG502QEAAAR11A06M4G.zip"
There's some magic here which I don't fully understand... The modem firmware might be unable to multiplex IP sessions over an exported session maybe?