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As usual NSU is not working properly. There are lots of solutions, but, in my opinion, most common problem is with certificates.
Well, You could check for NSU logs in directory X:\ProgramData\Nokia\Nokia Service Layer\A\Logs or alike for different OS. (This is for Vista Home).
Log could say something like:
19:55:10.875 [WININET] InternetQueryOption(74): 4 19:55:10.878 [WININET] Opening 'https://www.dsut.online.nokia.com/oti/get_params.do?application_id=2' 19:55:10.882 [WININET] Proxy username and password not set 19:55:10.904 [WININET] Sending first request 19:55:11.873 [ERR20053] HttpSendRequest failed with error 12037 [WINAPI 12037 'Неправильная или устаревшая дата сертификата '] 19:55:11.880 [ERR21092] Cannot connect to NOL server 19:55:11.885 [ERR21092] Cannot open POSTI session
Which means - ERROR 12037 'Wrong or expired certificate date'.
To check this You could also try connecting to shown https - explorer will yield about certificate and You could ignore it, but how to set up NSU to ignore it?
Nokia, is it too hard to update certificate??
I'm pretty sure that more than 50% of NSU update problems is due to this certificate issue! (The other 40%, I think, is due to certificate itself, which is not recognized by explorer/winapi as a proper/trusted one, but You could fix it).