Because the DCU60 cable - the one you get in the box - is only able to flash red firmware (approved) over red firmware.
As Sony-Ericsson haven't released the W800i firmware as an official firmware, the software available is 'brown' and considered a 'beta' firmware - so it won't let you!
If you can't afford a Cruiser/Fighter cable, you'll just have to send your phone to someone else. However, I bought my Cruiser cable off ebay for about €30 shipped from the US - so its not a lot!
(P.S. If I have brown and red the wrong way round - apologies - its been a long day lol)