This is interesting, since I have the same basic issue as Mike, though in my case the window for update progress shows up and sits there doing nothing. No progress in the progress bar, nothing indicating what has been or will be downloaded. It will stay like that for hours too if I don't hit the cancel button.
My situation is the same as Mike's (XP and I am the admin) and I am running SAS 4.38.0 1004 and Avast Pro 5.0 is my antivirus app. Should I do the uninstall/reinstall after manually downloading the latest version as well?