I was disappointed when I started getting a 9006 error when downloading movies on iTunes on my new Vista machine. I looked all over the Internet and even on Apples website and couldn't find a solution to the problem.
But never mind I found the solution to the problem.
Hope the above helps. If you are still having problems I would suggest trying a download with Windows firewall turned off to see if it makes a difference.
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Disclaimer The opinions expressed herein are my own personal opinions and do not represent my employer's view in anyway.