I clicked to "Tools" then "Internet Option" then "Advanced" and on the list, I checked "Use HTTP 1.1 through proxy connections as I was told, but it don't work. I now see that Perry Stone too has a "free dowload" button for Windows Media Player, version 11. I checked it and it's the same page I downloaded mine from.
So the site is correct, but I done something wrong!
Please help me, someone!