Most probably the URL has a timestamp (STOKENID) that expires very fast. You should record from the URL immediately after getting it.

I can't check the URL for you 'coz I don't have an access to this paid web-site.

Firewall may block your connection. Do you have it? If yes, did you allow NetTransport to access MMS URLs?

And can you play it with your Windows Media Player?

p.s.
Do you know that WM Recorder in the ADA or PRO mode can record almost any Windows Media stream your Windows Media Player (even the embedded one) plays?