I have just restored the site on my computer and the component works perfect so I guess the problem is the server or permissions with the temporary folder.
I'm using fopen in local and works. Online can't use that option as it gives me the next message:
Download Failed: Remote Server connection failed: fopen(
http://jsitepoint.com/update/packages/joomla/update.xml) [function.fopen]: failed to open stream: no suitable wrapper could be found; Using Proxy: No(42)
Any idea of what I should ask for to my hosting guys?
Thanks again!