Are you tried this
"Error: LiveUpdate encountered one or more errors. Return code = 4" in LiveUpdate status in Symantec Endpoint Protection Manager 

Also double check this setting
To Configure the Proxy server from Symantec Endpoint Protection Manager.
Click on Admin
Click on Servers
In the "view servers pane" select the name of the manager under local site
After selecting your server, in the tasks pane, click on Edit Server Properties, a dialog box will open up
Click on Proxy Server
Fill out your appropriate settings and credentials for HTTP and FTP as required for access.
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Check this possibility also

How to
determine whether your firewall is blocking LiveUpdate

if the above fails try this document

LiveUpdate and content troubleshooting for the Symantec Endpoint Protection Manager

http://service1.symantec.com/SUPPORT/ent-security.nsf/docid/2008091613592648

try this step

Re-registering/Resetting Symantec Endpoint Protection Manager content with LiveUpdate

The following steps should only be performed if troubleshooting steps indicate that the problem is due to Symantec Endpoint Protection Manager content not being properly registered with LiveUpdate. This may solve issues seen when Symantec Endpoint Protection Manager is not downloading a specific type of content (notably, AV and IPS content).
1. From the Start menu select Run
2. Enter the following command including the quotes: 

   "C:\Program Files\Symantec\Symantec Endpoint Protection Manager\bin\LuCatalog.exe" -cleanup

   This command will unregister all Symantec Endpoint Protection Manager content from LiveUpdate. We will then proceed to re-register the content again with LiveUpdate.
    

3. From the Start menu select Run
4. Enter the following command including the quotes: 

   "C:\Program Files\Symantec\Symantec Endpoint Protection Manager\bin\LuCatalog.exe" -update

Note: To re-register the manager without reinstalling the software, follow the steps below:

1. Open a command prompt browse to:
   C:\Program Files\Symantec\Symantec Endpoint Protection Manager\bin
2. Type lucatalog -update and press Enter.
3. Run LiveUpdate to verify that there are no errors.

-> I don't have a bin folder in C:\Program Files\Symantec\Symantec Endpoint Protection Manager\

I also downloaded livetri.zip succesfully from the Symantec website.

check where you have installed the manager, there should be a bin folder
it might be on D drive
do a search for LUCATLOG.exe you should find it.. Do you use proxy?  

C:\  is the default location, Check the drive where the SEPM is installed

Rafeeq,
Ok, I found the bin folder. I was looking on the worng location. If you mean SEP Manager, yes i installed that. If not, which manager doe you mean?

Yes I do use a proxy, and checked all the setting. This should work just fine. I have internet connection.

Prachand,

What do you exactly mean by 'disable enhanced security'? We still use IE6 on our servers.
I tried downloading vdb files from ftp.symantec.com and that works. So internet connectivity should not be the issue here...

Running LUALL.EXE didn't help either.
LU1803: LiveUpdate failed while getting your updates. (see att)

SEPM uses .jdb not .vdb .Please download .jdb file from

http://www.symantec.com/business/security_response/definitions/download/detail.jsp?gid=savce  and follow

How to update definitions for Symantec Endpoint Protection Manager using a JDB
http://service1.symantec.com/SUPPORT/ent-security.nsf/docid/2007100820002048

The SEPM's LiveUpdate fails with an Error: LU1803

http://service1.symantec.com/SUPPORT/ent-security.nsf/docid/2009081803143348 

Uninstall /reinstall Liveupdate ( delete all the liveudpate folders)
do a repair of sepm
run the luall.exe again

Hi Rafeeq, Prachand,

You've both provided me with the correct sollution. I followed all the steps in this document:
service1.symantec.com/SUPPORT/ent-security.nsf/docid/2009081803143348

Thanks all for your help!