Reads to me like Vista is trying to protect you from yourself, something that is keeping me from making the move up to Vista from XP.
The main links all require port 8012 and 8013 (IIRC) to be open on your firewall and my first impression is that your firewall is blocking this port - hence the error you are seeing. Do you know if you are using the default Windows Vista firewall or are you using a third party firewall such as Zone Alarm, Comodo, Norton, etc.?
In any regard, you could try to stream the feed from the alternate link. Each feed has an alternate link for those behind restrictive firewalls. See here:
Simply highlight and copy this alternate link from the "http" up to but not including the "(if firewalled)" part, and then open your streaming media player (WinAmp, Windows Media Player, etc) and choose the "Play -> URL" (or menu choice that approximates this). Paste this URL you just copied and see if that will play.
If it does play, your firewall is blocking the port and depending on your firewall product someone here could explain how to open that port so that you can use the "Listen" button instead.
