Please Select a Network Device

I'm trying to download a video but I can't seem to even get started. I went to Download Studio Sniffer and when I choose start sniffing I get Please Select a Network Device. I seem to have 2 devices listed and I highlight one and it completely ignores that I selected it. If I choose the other one it says Error reading packets, etc. I can't do anything. Is this the right way to proceed? I'm trying to download the video at www.max.com titled Fueling the Future. How do I do this? I'm on XP. Thanks a million!