The notebooks on MathWorld have been ‘broken’ for some time. I will ask the person who used to be in charge of the site – I’m at the WTC – but don’t get your hopes up.
In some cases, they can be repaired without too much trouble.
What George says is true. However, the particular error message that you are having indicates that the package could not be found. If the directory that you put the package in is not listed in the value of
$Path
Then Mathematica cannot find it and that error will be generated.