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Do you mean it informs you there is an update available during the setup process but then doesn't complete the update properly? Try removing the power cable from the Roku, reboot your broadband router and wait for it to connect to the Internet again, then connect the power back to your Roku and try again.
It's also possible that if you have your Roku some distance from the router in another room that while it claims it has a connection to the Internet, that connection may be intermittent or unstable. If possible try moving the Roku to the TV closest to the router to complete the setup process to see if that helps, or ideally connect the Roku to your router using an Ethernet cable.