I'm also having this problem on Kubuntu 64-bit. I have uninstalled and reinstalled PlayOnLinux and Steam several times. The upgrading box appears, but once steam has upgraded, no more visibility of the window that has come up. (It comes up in the taskbar, but there is no visible window whatsoever.)
Ah! I fixed it! I referenced the "Steam Problems" thread (here: http://www.playonlinux.com/en/topic-3483-Steam_Problems.html). Updating the prefix (and setting Wine to Vista, perhaps) made the window appear and be totally usable!