Update: Solution below worked. Client just needed to come up to date.
I made a BTC transfer from an online exchange to a client on my own machine, I have not yet received the BTC.
Here are the steps I took
1. Install client
2. Copy address from client
3. Request transfer from exchange
4. Look at client and realise it says '(no connections)'
5. Leave machine on go out as I was going away for the weekend
It's now over 24 hours later and I've not received the BTC.
The client on my machine shows 8 connections and 118000+ blocks.
It appears the transaction has been completed based on http://blockexplorer.com/address/166VKnrfKzgzGn9jgxWb8o2Zyfscp2Bso2
So my questions:
Have I lost my BTC?
If no, what do I need to do to receive them?
If yes, why and how can this be prevented in the future?