Dynamic Link Media Server is a separate process used by Photoshop and other Adobe applications to read and write video content.
If you have another application open, it may have the DLMS running as well.
And the DLMS may run for a few seconds after exiting Photoshop.
So generally just close Photoshop and other Adobe apps, wait a few seconds, then update.
If DLMS is hung somehow, then use your OS activity monitor/task manager to select and terminate the process.