I just upgraded to Snow Leopard. Why do I get "you are not connected to the internet" when I hit software updates?

I am trying to upgrade the OS from 10.6.3 and, following Apple's instructions, I hit Software Update and get the message "Software Update can't check for updates because of a network problem. Software Update can’t connect to the update server. Make sure you’re connected to the Internet, and then try again." I am connected, so what is the problem?