You can only use that button for music that is freely downloadable (songs with the "free download" link next to them, e.g. http://www.last.fm/music/Annie+Hall/...+para+encender).

Try playing the "Music tagged: free" radio station, you'll get some. Or try this URL:

lastfm://play/tracks/40011733,56373703,40012649,16331821,56374657,15983 056,40011539,26424036,16332240