Yeah, I've been having that problem for a while too, I guess they just expect people to use the dashboard widget for conversion.
If you select "Currency" from the "Convert" drop-down menu and try to update from there, you can close Calculator without having to force quit, although your currency rates still won't be updated.
As a temporary workaround you can delete the user>Library>Caches>Calculator folder, and get one update to go through, but if you close the program and reopen it later, you'll still hang when trying to update... If I remember correctly, deleting the contents of that folder used to be a permanent fix in Panther... not so, it would appear, in Tiger.