You were redirected here because you tried using weeklyclaims with a browser instead of with Stata which is the proper way to do this. Weeklyclaims is a stata program which works as a data provisioning command. If you want to browse the time series with your browser then visit the US Dept. of Labor.
If you are a Stata user then ssc install weeklyclaims will install the software. You can do help weeklyclaims then to learn how to use it. For example the command weeklyclaims US will download the weekly initial unemployment claims for the US whereas weeklyclaims CA will do the same for the State of California.
Note: Oct 29 2014, I have now disabled the weeklyclaims ado file because it used CGI and allowed the bash vulnerability to be exposed to malicious attacks.