What versions are you using for Player and CMS? The more information you give, the more likely we are to be able to help you.
Assuming you're running latest stable (1.8.2 for both Player and CMS), by default, the currently running version of the layout will need to finish being displayed before the updated version is shown. If you want it to directly interrupt, then you need to enable the
Expire Modified Layouts option in the Display Settings Profile for your Display: