During the installation, Spybot tries to download the updates. Whenever a connection attempt to the update server fails, this message is displayed.
You can disable this function in the wizard itself.
Just untick the checkbox in front of “download updates during installation” or “Download Updates immediately”.
The updates can be downloaded when Spybot has been installed.
There is a “How to” for installing updates here that explains in greater detail how you go about downloading updates.