I tired to download, in this case a show cal What Remains and this happens. :

Can you help me?

Did I skip a step?

It might just be that you need to specify a 'mode' for this command. get_iplayer should apply a mode by default but sometimes things go awry.

Retry your command but include the command at the end.

If you read through the TV Download guide, you'll see that it says to include this command:

TV Download Guide

Another possible cause: You are outside the UK and either you are not using a proxy or your proxy is broken.