Apple just released an update for GarageBand '09 that will fix some problems with the lesson store. According to Apple, "This update improves overall stability and addresses specific issues with downloading lessons from the Learn to Play Lesson Store. It is recommended for all GarageBand 09 users."
You can download the update by opening Software Update (Apple menu > Software Update) or by downloading the installer package from the Apple Support Downloads website.
Perhaps this has something do do with the recent uproar about PowerPC Mac being unable to play back certain downloaded lessons from the store. If you are using a PPC Mac and find this update does anything for playback, be sure to let us know in the comments or by dropping us a line!