The update must be copied to the SD card somehow. The recorder will run the update from the card. The recorder will not function (I assume, haven't tried it) without a memory card.
First of all, use the little 64MB card that came with the recorder to do the firmware update. Edirol recommends this vs. using the larger card you probably record to. I'd reformat the card first, too.
How do you normally transfer files from the R-09 to the computer?
If with a card reader, use that to put the unzipped firmware update on the SD card. Then put the card in the recorder & update.
If with the USB cable connection. Try the universal computer fix - reboot. Then attach the recorder via USB & open an explorer window. Maybe refresh the view if need be. Transfer, disconnect USB, powerdown, update.
Sounds like a Windowz Explorer glitch. Reboot, Reboot.
Good luck & careful with that input jack..