Welcome to the forum.
From the persistent storage, see if you have the option to erase some of the memory from the last disc's download. It may be that the USB drive's memory may be full. I believe once you erase the prior memory, you should be able to use BD-Live successfully. Keep me posted.
I have a BD-P1500 and have the firmware updated (as of 12/23/2008, system update says that I have the latest firmware). I have a USB 2.0 1GB flash drive in the USB slot. The system will let me set it as the persistent storage, and format the flash drive (which I have done). I have set the BD-Live to allow all content in the system settings. I have tried two discs (The Mummy: Tomb of the Dragon Emperor and Narnia: Prince Caspian) and both discs download content to the USB drive (verified by looking at the USB drive on a computer). However, when BD-Live is selected from the disc's menu, it reports that it can not play BD-Live material and that I need either a profile 2.0 player or an internet connection.
I have tried multiple Ethernet cables, I can see the player downloading content via my squid cache proxy server. I've disable the squid cache and the transparent routing rules to the squid cache proxy server. I've tried setting the proxy setting to use the squid server directly. I've tried both DHCP and manually setting the IP address. In every case, while loading the disc (The Mummy) for the first time after formating the USB drive, it says BD-Live material is available and asks if I want to download it. Material then gets downloaded to the USB drive, but selecting BD-Live from the discs' menu reports that it can not play BD-Live content.
I have a Linux router, using iptables to route traffic on my local network to the Internet. I do have the Linux router firewalled. However, I do not believe that is the issue. Because the BD-Live material has been downloaded to the USB Drive. It is as if the USB drive can not be seen once the disc menu is loaded.
Any suggestions? Has anyone else actually been able to play BD-Live content on a BD-P1500?