Sounds like it could be your transfer bar. Has it worked fine in the past or is this a new gun? If it worked fine before, my money is on the transfer bar either being loose or broken. Seems that there were some transfer bar problems where the pin was not peened and they are sliding around and even falling out in some cases. Customer Service will send you a new one if you can put it in or you can send it in to them for repair.
Do a search in the H&R/NEF Rifle Forum, for "broken transfer bar" and you should get some good information.
