Socket Errors are documented here:

Socket Error # 10061 indicates:
  • WSAECONNREFUSED
    10061
    • Connection refused.
      • No connection could be made because the target computer actively refused it. This usually results from trying to connect to a service that is inactive on the foreign host—that is, one with no server application running.

The primary causes of Socket Errors during the Spybot update are firewalls and proxy servers.

Do you have a firewall? If you have a firewall:
  • You must authorize SpybotSD.exe to access the internet through your firewall. If you have a firewall and are not sure if that is the cause of the problem, you could (for a short period) disable the firewall and see if the updates work properly.

Are you sitting behind a proxy server? If you are sitting behind a proxy server:
  • Go into Spybot > Mode > Advanced mode > Settings > Settings. About 2/3 of the way down the option tree there is a category "Web update". Check the last item in the list "Use proxy to connect to update server". A pop-up will come up were you can enter the information required.

    If you are sitting behind a proxy server and need to know what the settings should be, there are hints in the following article on how to find them: