Might be on your side. I'm not getting any errors with:
download.file("http://dd.weatheroffice.ec.gc.ca/ensemble/naefs/xml/20140515/00/TMP-SFC/raw/2014051500_GEPS-NAEFS-RAW_ABBOTSFORD_BC_CA_TMP-SFC_000-384.xml.bz2",
destfile="test")
trying URL 'http://dd.weatheroffice.ec.gc.ca/ensemble/naefs/xml/20140515/00/TMP-SFC/raw/2014051500_GEPS-NAEFS-RAW_ABBOTSFORD_BC_CA_TMP-SFC_000-384.xml.bz2'
Content type 'application/x-bzip2' length 6370 bytes
opened URL
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downloaded 6370 bytes