I also just added a single site that I know is used for ads by Microsoft to the blocked list (a.as-us.falkag.net) and closed FF, then attempted an immunization. Still won't immunize.
*EDIT*
Just figured out what the issue is. I went in and deleted the hostperm.1 file and the permissions.sqlite file, and then immunized. Spybot is creating the second file for some reason. However, after seeing this I simply went in and deleted both files, started FF, added a single blocked site, closed FF, restarted Spybot, and it decided to work. All seems to be good now.