Do you have the latest Java/JRE installed?
Screencast needs to download its jar file when it starts up. It sounds like either Java wasn't installed correctly or there is some classpath problem so it can't find stuff.
Also try what is suggested here (enable direct connection):
Java error: java.net.MalformedURLException: unknown protocol: socket : Project Safeweb Support Portal
I think they should have resolved that in the latest JRE but maybe not.
That may have worked..

Is that what I'm supposed to see?