Looking for solutions to this same problem (Sansa Updater failed to download Sansa Media Converter) I finally solved it by manually installing the new firmware update from here:
http://forums.sandisk.com/t5/Fuze/Sansa-Fuze-Firmware-Update-01-02-31-amp-02-03-33/td-p/139175
hint: the extracted files go in the root folder which is the folder that has Albums, Music, Audiobooks. Just drop those two files in the space where those folders are.
Then I turned off windows firewall and kaspersky anti-virus…and any other unnecessary programs.
finally the Sansa Updater successfully downloaded the Sansa Media Converter successfully.
