XP SP3 I hope and up to date? As McAfee relies on Internet Explorer for settings please make sure that you have the latest available version installed (IE8 for XP) and set to its default settings. It doesn't have to be your default browser however, that choice is yours.
In IE go to Tools/Internet Options/Advanced and click Reset, Apply and OK. Close and reopen IE and go to Tools/Manage Add-Ons and re-enable any you need.
Try the update again.
If it still doesn't work try running the McAfee Virtual Technician from here: http://mvt.mcafee.com/
Thanks for your response. Fixing IE didn't work and the virtual technician didn't detect any problems. What else should I do? I'm not sure why mcafee won't recognize my internet connection.
Is it via a proxy by any chance? Try contacting Technical Support, it's free by phone or online chat and linked under Useful Links at the top of this page.