This error means that when PKR tried to start it could not connect to the internet. You should reboot your computer and check your connection.
If this keeps happening PKR is most likely being restricted from accessing the internet by one of the security settings on your computer. Ensure PKR is listed as an exception on any Firewall programs and open the required ports.
To find out how to open ports on your router, type its make and model (this should be printed on your Router) into an Internet Search Engine along with the words "port forwarding".
These are the ports that need to be open:
51330 to 51339
52330 to 52339
8018
8021
58019
This is TCP, not UDP.
It is probably your firewall not allowing PKR access to the internet.