Can you clarify which update do you mean and what is the exact message? If this is a Windows update, first of all, I would suggest to try switching to bridged networking mode. (Configure -> Network Adapter 1 -> Bridged networking with a default adapter). And if this is a Parallels update - make sure you have registered on our site since this is necessary to download updates. Also, make sure that no firewall/antivirus is running.