I was able to reproduce the problem, and I realized after some debugging that the unhelpful "An error occurred." is coming from trying to run ImageMagick's convert, which needs to be installed for converting the PDFs to PNGs for display in the browser.
If you install the Windows version of ImageMagick and ensure that it's on your PATH environment variable it should work. In the meantime I've opened an issue for this: https://github.com/sagemath/sage-windows/issues/23
I was able to reproduce the problem, and I realized after some debugging that the unhelpful "An error occurred." is coming from trying to run ImageMagick's convert, which needs to be installed for converting the PDFs to PNGs for display in the browser.
If you install the Windows version of ImageMagick and ensure that it's on your PATH environment variable it should work. In the meantime I've opened an issue for this: this, since convert should really be included in the distribution: https://github.com/sagemath/sage-windows/issues/23