Never use all the CPUs in an example: on windows boxes it gives problems. In examples we always want to have 'n_jobs=1' and a comment next to it saying that this parameter can be changed to use more CPUs.

The good news is that with n_jobs=1, a full brain mask, and 5000 permutations, which is closer to realistic settings, the example takes 120 seconds on my box (that has a 4-year old CPU). That's completely acceptable.