I don't think it's in Citrix's literature, so I can vouch that this is a *good* idea, but I have found that you can update the database in the Update Configuration tool from just about any folder.
Try this:
1. Create a new folder, and use WinZip to extract the contents of the downloaded file (from Citrix's website) into this folder.
2. Open the Update Configuration tool, and create a new Client.
3. Use the browse button to locate the update.ini in the folder you created in step 1.
4. Follow the remaining steps, and configure as required.
I tried this as I wrote this procedure, to double-check, and it worked.
If you are still having problems, please provide more details about the procedures you are following, also check the client you are using, the levels of permission on the relevant folders and user/group rights to those folders.
I hope this helps