Don't worry. GP32s tend to do this from time to time if the connection with the USB port isn't perfect, or if you go out of link mode and back in without restarting PC-Link. Or unplugging the cable without restarting PC-Link.
Basically, turn your GP32 off, unplug it from the USB cable, close PC-Link, Turn on your GP32, plug in the USB, run PC-Link, and don't touch the actual Gamepark until you've sent everything across.
It should work.