If you are using an older than version 1.5.0.58+Patch 3 (newest public version is v1.5.0.59) , that will happen because old versions check for updates in the old, now down, site.
If that's not the case, and you are already using the newest version, this can also happen if you are running PDFE in a 64-bit Windows. The problem is related to the DiskTree tree component, so to make the updates work you have to make sure PDFE starts without initiating this component, before you check for updates. You just need to change to a DB scan mode (any of the DBDiskTree, DBDisk or DBSearch will do), and exit PDFE. Now start it again, PDFE will start in the scan mode of the last session, not initiating the faulty component, and you can go check for updates. If that's the problem that is happening at your system, you will see it will work this time.
The build 59 patch1, already online for registered users, fix this problem.