Hi Stalker,
The screenshot shows that you are using the legacy tool, LiveUpdate Administrator Utility 1.5. (Though old, this version is still capable.) As Acretian mentioned above, exact details on why the download failed will be found in the computer's log.liveupdate: LUAU 1.5 uses the same LiveUpdate that it uses for its own Symantec products to retrieve content that will be shared out to other computers.
The newer vesion of the internal LU server tool is LiveUpdate Administrator 2.x. These two tools perform the same function (downloading content for use within an organization), but do so by completely different technologies and methods. LUA 2.x has a lot more capabilites and has an event log in its GUI which will tell you what the problem is. When researching for solutions in the forum or in Symantec's online articles, be careful not to confuse the two as you may be looking for files or locations that do not exist.
Best advice for your case: take a good look at the bottom of the log.liveupdate and see if that provides any specific reason for the failure. If need be, post the relevant lines here to the forum.
Thanks and best regards
Mick