Hey Andorians-rule, it seems there is a small problem with the download - that it runs extremely slowly. Mike is investigating the cause, but so far he hasn't found anything physically broken with the updater. I in fact had the same problem, but it eventually downloaded fine. Just let the game perform the update, but leave it running in the background - it can take anything up to half an hour or more before anything actually starts to download. I know it's annoying, but if you want the update, you'll just have to wait.
You can just press the Windows key or press Alt+Tab to minimise Supremacy. Read your emails or something whilst you wait. It WILL eventually work. Eventually.