There must be some error with the liveCD. As suggested by @psusi, you should check the disk. If there's an error, you may want to replace it before using it for anything else. And it's a good idea to check the ISO before burning.
Originally, I had thought that sudo was not required since there's no password, but I found that this is not the case. Programs like gparted, that normally prompt for a password, will run from the menu without prompting; but commandline programs still require sudo, although they don't prompt for a password.
But you should be aware that
update-grub would not be the correct method to fix this in any case; it simply generates the menu configuration file (
/boot/grub/grub.cfg) in the partition that the GRUB MBR code reads (in this case, the CD, which can't even be written). In your case, the GRUB code is not in the MBR, so it is not being run; therefore, it never reads the menu configuration file.
What you need to use is
grub-install to fix your problem, which is a bit more complex, and requires mounting the disk. It may be easier for you to use the boot repair disk . This disk will automatically fix this problem.
In order to actually put GRUB on the MBR, you need to run
grub-install, specifying which directory to use for
grub.cfg (it will default to
/boot/grub/grub.cfg), and specifying the disk for the MBR code, such as
sudo grub-install --root-directory = /media/sda2 /dev/sda; assuming /dev/sda2 is mounted at /media. The main point is that the partition must be mounted to have
The syntax for
grub-install is basically:
sudo grub-install < mounted location of grub.cfg > < name of disk MBR for GRUB itself >
So, in my example it assumes /dev/sda2 is mounted at /media/sda2, and will put grub.cfg in /media/sda2/boot/grub.