Make sure you have debugging (‘Admin > Debugging Preferences’) turned on. Then go to the Plugin Manager and see what errors/messages are listed.
In Eilene’s case, this was the relevant message:
Warning: fopen([color=red]http://plugins.pmachine.com/index.php/feeds/download_2.0/[/color]):
failed to open stream: Connection refused in /xxxx/system/cp/cp.utilities.php on line 166
The URL in red is what it was trying (and failing) to connect to. Her Host was blocking the connections and had to specifically allow that one.