maybe a little more detail would help diagnose whether it is a local issue, a network issue or an issue with the sponsor.
The basic thing to check would be to see if you are indeed getting to where you expect to be arriving. Its possible you're behind an invisible proxy from your ISP that may not be sending the header info to the hosted gallery server. Its also possible you have a toolbar which might be redirecting the domain. If you're getting a 404, and I can't imagine too many sponsors that don't have a pretty 404 page that contains advertising, I might suspect you aren't getting where you expect to arrive.
For the hosted galleries, if you use someone else's code, does the gallery show? Do some galleries work or do all galleries you try end up with a 404?
http://downforeveryoneorjustme.com/
That will say that the site is down if it gets a 404 or any other error. Any successful hit will say that the site is up.