I'm getting the same problem. Some notes on my situation:
I am a recent purchaser of ObjectDesktop, a Christmas gift for myself.
I normally run with a Restricted User account. This may matter, but I'm not sure.
I have installed WB 5, not WB 4.
I get the same bubble message.
Apparently my problem is only with WB visual styles. Cursors and Icons download and install correctly with ThemeMgr.
Theme Manager's download.log has messages like this:
-- [AlienMindII] ----------------------------------------------------
Url: https://www.wincustomize.com/download.asp?SkinID=3322&LibID=1
File: C:\DOCUME~1\NIGHTB~1\LOCALS~1\Temp\~thememgr\WindowBlinds\
Result: Http error (code: -11, Error creating/opening the target file)
Afterwards, WB 5 shows an "Unknown" skin with no preview.
In C:\Program Files' Stardock and WinCustomize folders, I added Modify permissions for (Restricted) Users. This helped with other problems. And I checked to make sure I had write permissions for the Temp WindowBlinds folder.
I can manually download and install WB visual styles outside of ThemeMgr. I currently have the basic Aquarium theme installed. ThemeMgr cannot download new WB visual styles, but it can use existing styles.
Everything else I tried has worked: individual WB visual styles, icons, cursors, DesktopX (for Aquarium), and bootskins (of course installed with Administrator).
I searched all the documentation I could find for this problem. If somebody wants to tell me "RTFM," please tell me where the "M" is!

This problem isn't a showstopper; I'm not going to ask for my money back. But it IS inconvenient.
Also, WB reports this:
WindowBlinds 5.0 System Information Report:
STATUS : WB+ SRV+ HLP+ UI+ TRAY+
WindowBlinds is installed correctly on this PC.
WindowBlinds appears to be activated on this PC
Your machine supports per pixel borders on WindowBlinds skins.
You have one monitor in total.
(Sony Notebook LCD (1024x768)) 1 is attached to MOBILITY RADEON 9200
Wblind.dll 2005/11/28 13:57:10
Wbsrv.dll 2005/11/28 15:52:00
Wbconfig.exe 2005/11/28 16:19:00
Wbload.exe 2005/11/25 19:30:58
Wbhelp.dll 2004/09/18 16:37:00
Wbui.dll 2005/11/20 12:23:40
Tray.dll 2005/11/02 13:28:26
-nightbird