It sounds like browser security - What version of IE (Or FireFox, depending on what you use) are you running? In later versions, security "problems" like this are shown in a thin yellow bar across the top of the webpage where you can often click on a hyperlink to allow a file to be downloaded or an ActiveX component to be run.

First thing to look for is whether or not your browser is trying to download a new version of Windows update but your security settings are not allowing it. I've had this problem before and the fix is available either by clicking the link to accept the applet if prompted, or by going to Tools - Options - Security Tab - Custom Level Button and then checking the radio box for "Downloading Signed ActiveX Controls".

If this doesn't work then it could be a firewall problem, though if your security is set to allow signed controls, there should be no reason why Windows Update won't work.

John