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I tested the connection to XBL last night and it said my NAT was moderate. I turned it off for the night. I'm trying again this morning.
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My NAT was Open when I downloaded it.
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The NAT shouldn't affect it, especially if it's moderate. If the problem isn't fixed tomorrow morning when you cut the console back on then try canceling the download then restarting. Sounds stupid and trivial, I know, but if you haven't tried that yet then you should. Then give it a few minutes before you decide that it's stuck at 0%. It's a big download, so it'll take a while for it to go even 1%.
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Hope it downloads for you m8