As far as I know the phone actually holds the pc companion software itself so just a thought... maybe uninstall your downloaded version and try connecting the phone, it then (for me at least) gave a pop up saying start PC companion. Edit Just tried this on my son's laptop... said installing drivers, then pop up on laptop screen giving you option to run PC Companion which I am doing now to see that it all works ok. 2nd edit... its downloading it again from the website so not sure if this would help but it might be that your original download caught a glitch - its downloading a load more drivers and saying do not disconnect your phone, copying files from phone, now complete.
Do you get far enough to drag down the notification bar and mount your sd card?
The other suggestion I can think of is to try a different PC/Laptop (not entirely practical I realsise!) but there seems to be some evidence that people have been unable to access updates via certain pc's but have on others eg the one at work or a friends - taken from posts on XDA and Android forums for X10.
