Hi Peter, I have Ad-Aware SE Personal as well on my computer, and I've just done an update. It took a while (by this I mean about 2-3) minutes for it to connect to the Lavasoft Server, but then it did and found updates dated 17/01/2007, which I have now installed successfully.
Try checking for updates again mate, maybe you just need to be a bit patient with the time it takes to connect to the server because I almost cancelled it cos I thought something was wrong.
Hope that helps