Vista - Error when updating poker software, dll not allowed to download.

When i try to run PKR (poker software), it tries to update as it is the first
time i run it.
But it gives the message: "A fatal error ocurred during initialization.
PKR will attempt to check your internet connection, and will bring up the
server status web page if you have a working connection.
(Unable to download required files '@ssleay32.dll, @libeay32.dll,
@mss32.dll, @pokerapp.exe [0xb7])
Click Yes to check your internet connection."
If i click no it closes, if i click yes, it says:
"Server Status
All PKR servers are fully operational. If you see this message, please try
logging in again. If you continue to have difficulty, please contact Customer
Services. "
In touch with the company, they say my security settings are set up not to
allow .dll files to download.
May that be right? I could find it anywhere.
Anyone can help?

p.s. with the firewall off, still the same.