This is a permissions problem that seems to happen on XP machines.
If you see this:
Then uncheck the Protect my computer box and click OK.
If you do not see this box, close Orchids Plus and use explorer to go to C:\Program Files (x86)\Orchids Plus
Find the application called CheckForUpdates. Right click and RunAs administrator - or RunAs and then select administrator. this should elevate the permissions and install the update.