I had this problem on Windows 8, this is the easy Spybot solution:
Settings > Check Advanced User Mode > Internet Connection Tab > Do not use any proxy trying to access the internet
The default option is set to Use the same global settings as Internet Explorer the Spybot 2.0 recommendation may not be good for everyone. If Dial-up connection/proxy information is inserted into Internet Explorer > Settings > Internet Options > Connections Tab this option will work.
When using a network adapter/router windows will automatically detect network settings. These seem to be unavailable to Spybot 2.0. Internet Explorer just works. Use the control panel and manually set network addresses for the network adapter. Spybot 2.0 will now update using the default Use the same global settings as Internet Explorer setting.