The most common reason for this problem is that you need to use a proxy server to access the internet. If this is the case, the proxy server is already set up in your browser. You can check the settings here and use them for Spybot-S&D.
In Mozilla, you can find the Proxy settings if you open the Edit menu, choose Settings… at the bottom, and navigate to the section Advanced – Proxies.
In Internet Explorer, see the Menu Extras – Internet options, go to the tab Connections and click the Settings button at the bottom.
In Opera, see the Menu Tools – Preferences, go to the tab Advanced, section Network and click the Proxy servers button. Look for the HTTP proxy there.
Back inside Spybot-S&D go to the Advanced Mode (via menu Mode), then choose Settings → Settings, and scroll down to the entry Automation – Web update – Use proxy. Now check the box below it, and a dialog will appear where you can enter your proxy settings.
The format is host:port (the host is the name, the port the number you found in your browser). If you need to access your proxy using a login, you can use the format username:password@host:port.