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priceIts

Well I downloaded the data using the link in your message which suggests that the code is right. I don't have its loaded (I assume it's from the irregular time series package) so I can't test the code as you have it. 

Have you tried checking to see it it is an issue with the internet (your browser, blocked sites etc) rather than a problem in R?

Tom
http://www.R-project.org/posting-guide.html