Software Update NOT WORKING (Snow Leopard)

Software Update NOT WORKING (Snow Leopard)

Hi, I am currently using Snow Leopard 10.6 on my iMac. I opened iTunes and was told there was an update available so I clicked the button to download it. This obviously opened up the 'download' screen with blue bar. The blue bar does not move and the message comes up that the download failed. I have tried troubleshooting, but the message I get is that I am not connected to the internet - which I am.

Please help.