Okay, I've tried updating my spybot S & D and it says !!! bad checksum ! with a big red circle and a slash on the:

Detection rules
English descriptions
English language
Immunization database

Has anyone tried updating, and have had this occurred? So what does this mean? Did I just download something bad or what?

Saw somebody say the same thing as yourself a few hours ago and they posted this link http://forums.net-integration.net/index.php?showtopic=33788
Which says there is an ongoing issue with the downloads
So you'll have to grin and bear it for a while
Nothing to do with the program installation(It's an "outside" problem)
Don't delete or alter the settings!
Have you anything else such as AdAware ,Spywareblaster or Avast? If these are present, then they'll cover the gap until the SpyBot issue is resolved

Yes, I have Ad-Aware SE, and spywareblaster, but I just hope nothing was downloaded onto my spotbot that was dangerous? I also had this happen a couple of weeks ago and uninstalled Spybot S & D then, should I do so again?

Just leave it be.
May correct itself?
If you were to cancel the displayed messages? More than likely a tick box. Then it will still work. If Windows chimes in with an error message then uninstall the program for several days or try to see if there is an updated version listed at Download.com ? This wiil more than likely be the same version.
PS AdAware had a similar issue to this a few weeks back and the only way was to uninstall and reinstall the Program (same version number)to force the update to download (was a 1-off)
Maybe that's what's happened here?

soaring,
When that happens, just change the download location that you're receiving the updates from, if you're downloading from Securitywonks.net, change it to Europe, or something like that. This works for me.

chris