It happens - but rarely. The timeout used to drive me crazy and then I started using the card reader - today in fact. I have transferred hundres of MB of files since the AM using the card reader - with an error only once.
Before when simply linking up to the GP32 I was getting an error every 5-10MB. Which was driving me nutz.
If you can afford it and you transfer a lot of files (like I do) then I would also recommend getting the card reader.
I dont get an error, the window just goes white and I cant move it, but its still copies so im fine with it for now... Kinda slow though, but at least I dont have to copy over gigabytes of stuff at that speed.