Can't record Windows Media stream with WM Recorder. How Can I Tell If DRM Protected?

I'm a newbie to capturing streaming video and I'm trying to use WM Recorder from my work PC to capture videos from the following website.

http://www.damienrice.com/video.php

Specifically I'm trying to get the High res W/Media videos without success.

Having never done this before I don't know if it's not working due to DRM protection, internet security on my work PC, or my own ignorance. What would I see if it were due to DRM?

When I try to capture using either ADA or PRO mode is says "connecting" at first then "Cancelled". I've even saved the .asx files the links refer to, copied the .asf URLs in those files and tried to capture them directly using the URL mode but it just gives me connecting MMS first, then connecting HTTP, then connecting RTSP, then cancelled.

I'm guessing the problem is with the security settings on my work PC internet connection but I'd like to be sure it's not DRM related. It would also be nice to know for future reference how DRM issues show up in WM Recorder. Any help would be appreciated.

Thanks.