Well, the updater isn't something you download. It's a JNLP link that has to be run (not downloaded) in Java within the browser, which then installs/caches the updater within the Java code library on your computer. In the process it also creates the desktop link that'll re-run the updater now that it's installed.
What you need is to first have Java installed (the JRE), and have a plug-in called the Java Deployment Toolkit present in your browser (to check in Firefox, type "about
lugins" into the URL bar or look in Tools | Add-ons | Plugins).