Socket error #11004

I just downloaded the AllofMP3 Explorer and when I try to set it up I get this message: "Socket Error #11004"

The first time I tried the set up my Microsoft Anti Spyware popped up and I accidentally told it to block the action by AllofMP3 Explorer.

How do I get past this Socket Error and/or undo what I did with the antispyware?

I already tried unistalling the antispyware then running the AllofMP3 set up but that didn't work. Help