If you're using the demo version of Reason you'll need to load the "spymaster gogo RSN demo.rns" rather that "spymaster gogo final.rns". An alert window will pop up to notify you that some sounds are missing. Click the "Open dialog" button, and a window will appear that allows you to search for the sounds.

Click the  "Select All" button, then the "Search In" button. Navigate to the Reason Demo folder on the disc, click on the Reason Demo ReFill and the click on the OK button. The dialog should now show that all the samples have been replaced, so hit "Proceed" and the song will load correctly.