well, it *should* work. First go into software source manager and remove update sources if it's there. Then go back to software management and start again. If this doesn't work, go to http://plf.zarb.org/~nanardon/urpmiweb.php
and setup update sources according to the instructions there.
You can also use the command line to see if it's a problem with the graphical interface. After setting up the update source do (as root):
urpmi --update --auto-select