Check your firewall and anti-spyware software:
Acquisition of licenses and Media usage rights can be blocked by company firewalls and anti-spyware software. Please check first with your network administrator if you have one, or check the documentation for the firewall and/or anti-spyware software.
If you still have problems, ensure the Windows Media DRM Add-on for Internet Explorer is enabled.
For more information, read the Microsoft 'Using protected files (DRM)' FAQ