That line about not being able to process the directory is a problem. I'm not sure what the problem was either, since I went to the FTP site that it uses and the files appear to be there.
You might just try again tomorrow (sometimes networks do odd things) and if that doesn't help what you could try next is just using ftp to connect to
ftp://ftp.NetBSD.org/pub/NetBSD/packages/4.0/i386/All and downloading all 4 or 5 files that start with "gcc3-" (ftp can do tab-completion and wildcards, so you don't necessarily need to know each file's whole name)
Then in the directory where you downloaded the files, run pkg_add gcc3-3.3.6.tgz and it should be able to get things moving. Note however that doing it this way may make it stop with more errors if additional dependencies are required, but you can just download them from the ftp site above and start again.