The FAQ referred to free videos, but I did not see them.
There are setting in WMP about Download Usage Rights automatically and Send Unique Player ID to content providers on the Options/Privacy page. If you are a member, maybe ask them. I know I had to register my computer when I was using Audio books, and some Apple content, so maybe this is the same type of thing.
I don't suppose some firewall is blocking it? Anyway, I can't think of anything specific.....