Have WP 3.0.1 installed on a Windows machine behind our school firewall running XAMPP 1.7.3. My guess is the proxy server at our school must be blocking the HTTP request from WordPress to the plugin/theme site.
Of course I could be way off in my understanding of the inner workings of WordPress. However, is there a proxy server setting anywhere internally in WP for when WP wants to contact an outside web connection for things such as downloading themes and/or plugins?
I've searched for someone with a similar problem, but no luck yet. Will keep searching.