Vidoe Tutorials not functioning Illustrator CS5 One on One

Purchased Adobe Illustrator CS5 One on One. Video files do not work....keep getting "Connection Failed" message when clicking the watch button and video tries to start. Obviously I have a connection to the internet or I would not be at the site. What is the problem.

I can download the file to my computer and watch but I should not have to do that based on what is promised in the book.
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