retrieving complete response using curl_exec()

I've just started using the curl functions in PHP and I'm having what
might be a beginner's issue. 

I'm setting up a basic GET query to a remote server, executing the
query, and retrieving the response. I've set CURLOPT_RETURNTRANSFER, and
I'm getting the response returned from curl_exec() -- but not all of it.
I get the headers and a fragment of the page.

What do I need to do to make sure that curl_exec() returns the entire
response and not just a fragment? What am I missing?

Thanks!

Mike