Could be several reasons:
*Firewall blocking access
Do you have an internal LiveUpdate Server or connect direct to symantec ?
If it's internal is it configured in the SEPM Console ?
If it's direct to symantec is a proxy server blocking access ?
Go to c:\Program Files\Symantec\LiveUpdate\ and run LUConfig.exe , set to Interactive Mode
Run LUALL.exe from the same directory , what happens , it should give a more detailed error message ( It still might mean nothing, but atleast it tells you more)
Cheers