Just to clarify, is this from the demo beta 0.4 version or one of the more recent pre-purchase beta versions?
If it is the demo, did you use the installer or did you download and unpack the zip to run the game?
To me it looks like Kaspersky Internet Security detects rwr_game.exe as a keylogger, I wonder if Kaspersky somehow blocks access to the resources RWR tries to use. I'm not familiar with Kaspersky myself.
I found this though
http://support.kaspersky.com/faq/?qid=208284459 -- did you had to go through the dialog of choosing to Allow or Add to exclusions? Which one did you choose?