Holy cow, I wrote a book!
Into Windows Media Player (version 9 if you're keeping score at home),
I type the URL of an MP3 file (poor man's podcast) and get the error message
"The download of the specified resource has failed."
On this dialog there two buttons:
Close and Web Help.
Close closes the error dialog, of course.
Web Help does nothing.
Turns out the real problem was that I was in offline mode.
Go to the File menu and uncheck "Work Offline".
So if you get the
"The download of the specified resource has failed." error,
check that you aren't accidentally running in offline mode.
Working backwards, I'm guessing that the Web Help button didn't
work because I was offline.
Which is kind of ironic, because the only way to get help is to
have already fixed your problem...