This occurs when you have specified a Callback URL that is not accessible by GrabzIt. The Callback URL is used by GrabzIt to inform your application that your screenshot is ready. Please ensure that the Callback URL is located on a web server accessible under a domain name or IP Address, such as example.com. URL's containing localhost or 127.0.0.1 are not valid Callback URLs. If you want to test your callback handler you can use the callback handler test tool.
In the GrabzIt Demo the Callback URL is defined in the config file. The handler that receives the callback is in one of the following formats depending on the language: /handler.php, /handler.pl, /handler.py, /handler and handler.ashx. To configure the demo just change your config file so that handler URL matches the location of the file on your website, so http://www.mywebsite.com/handler.php for example.
If you want to test the application on your local machine use the SaveTo rather than Save method. Another option is to use the GrabzIt IntraProxy which makes it possible to access internal websites externally.
If you are calling a new domain it may not have propagated to all domain servers yet and so may not be possible to lookup. If this is the case use the IP address of your server instead until the domain has fully propagated.