This error message occurs if RealPlayer is configured to connect through a proxy. To resolve this issue, turn off proxies in RealPlayer 10:
Open your RealPlayer and make sure you are connected to the Internet.
On the Tools menu, click Preferences. The Preferences dialog box opens.
In the Category pane under Connection, click Proxy.
Under Streaming Settings, click the Change Settings button at the bottom. The Streaming Proxy Settings dialog box opens.
Under PNA & RTSP Proxies and HTTP Proxy, be sure that No proxy is selected.
Click OK twice.
Close RealPlayer, reopen it and try to download the music again.