Updates involve two separate steps.

Step one is the download, which is what the initial update action does.

Step two is what many people miss - actually installing the downloaded update. When the download is complete, an icon will appear in the top left corner of the LCD screen. If you press the Menu button, then "Notifications", you'll see an update is ready to install. Tap this notification to install the update.

If this is not working, please contact technical support for assistance.