Did you extract the files?
Extract the folder and place it in the root directory of your hard drive (My Computer/C:/mule_windows_1.2.3) to rule out any path issues.
I can run the game without an Internet connection so I don't think it has anything to do with a URL on the internet but rather one in your system.
Maybe if you have the game within an exotic folder the path gets mangled, just a shot in the dark but I hope it helps... we always need more meat afterall!
