the best thing to do is look at the error message, google it and see if there is a setting you can change which is described step by step (e.g. like if you need to add an exception to the firewall). If that doesn't fix it then you will be looking at the extreme which wiping it and putting a different version of the OS on.
Tbh though, if it doesn't work out of the box and you don't want to faff around with it, I would return it to amazon and try something else. Amazon have got an excellent returns policy and unless you were looking to stream solely off the internet, I would look at getting a media player with some built in apps and then you have got the best of both worlds. Have you had a look at Google tv or the Now TV box to see if they can meet your needs?
http://www.nowtv.com/box