Welcome, @kate_reevey
First, try one rerun. This specific error can come up when the server is restarting, or even just by chance from a connection problem. Rare, but possible!
If that is not enough, would you like to share back your history for feedback? We can help to double check that the inputs/options were set up correctly but also report/fix any technical problems as needed.
How to share is in the banner of this forum. Please see → How to get faster help with your question. You can generate the link and paste that back here in a reply.
Then for this part:
It is great that you are learning how to retrieve data! This may seem tedious but it is a really important skill to learn a bit about how to discriminate between reference data sets, since everything else in your experiment will depend on it.
This particular data is a bit complicated. There are two different types of GENCODE track data. You will want the one without the “All” in the name. The release version doesn’t matter for this tutorial, but the underlying content of the file format, and the specific data included, does.
This topic has the details with screenshots. → "Introduction to Genomics and Galaxy" GENCODE V41 unavailable - #2 by jennaj
Today, this is what the listing looks like. I boxed the versions that are good for this purpose in green.
I think you probably picked the correct file, and something else is going on, but we can double check. 
Please let us know if you solve this yourself instead!