I think there could be two possible problems:
1) As the file extension is "hdf", maybe this is a HDF4 file. HDF5 files normally have ".hdf5" or ".h5·" extension. I am not sure if h5py is able to read HDF4 files.
2) Perhaps you have to change permissions to the file itself. If you are in a linux machine try: chmod +r file.hdf
You can try to open your file with HDFView. This software is available in several platforms. You can check the properties of the files very easily with it.