I have faced with this problem. I am trying to use the Mercury Web Tours Application and when I record the script the application is not opened.
I have solved this problem modifying the proxy settings. The option "Obtain the proxy settings from the recording browser" was selected. I selected the option "No proxy (direct connection to the Internet)" and, since this moment, the application has opened when I record a script. These options are in the "Recording Options", among the "Recording Proxy" options. I am working in a stand alone machine too.