This information from the FAQ section of the Windows Update site might help 
Troubleshooting
What happens if I cancel the download process or disconnect from the Internet before an update is fully downloaded?
The next time you connect to the Internet, the update will continue to download from the point at which it was interrupted.
I get an Internet Explorer error—how do I change my settings to work with Windows Update?
Use the default security settings:
- In Internet Explorer, on the Tools menu, click Internet Options.
- On the Security tab, click Internet zone, and then click Default Level.
To prevent problems, you can also add Windows Update to your list of trusted sites (instructions provided in the
Using Windows Update section).
I get ActiveX or scripting warnings when I use Windows Update—is there a problem?
No. Windows Update uses these technologies to determine which updates your computer needs. As a security measure, Windows Update ActiveX controls are digitally signed by Microsoft. But attackers sometimes use the same technologies to harm your computer. Internet Explorer warns you so that you can decide whether or not to trust Web sites that use these controls. Get more information about digital certificates, trusting Web sites, and choosing security settings by searching Internet Explorer Help. (If you don't want to see warnings when you use Windows Update, you can change your security settings but it's not recommended. If you lower the level of your settings, your computer is more vulnerable to viruses and other security threats.)
Why can’t I view update details, installation history details, or troubleshooting articles?
Your pop-up blocking software or settings do not allow you to open new browser windows from links that you click within a Web site.
To change Pop-up Blocker settings (available only for Internet Explorer 6 on Windows XP SP2):
- In Internet Explorer, on the Tools menu, point to Pop-up Blocker, and then click Pop-up Blocker Settings.
- Do one of the following:
- To allow pop-up windows only when using Windows Update, under Address of Web site to allow, type (or copy and paste) this URL: https://windowsupdate.microsoft.com and then click Add.
- To allow new browser windows to open when using any secured (https://) Web sites, in the Filter Level list, click Low: Allow pop-ups from secure sites.
If you use other pop-up blocking software, find out whether you can change your settings just for links that you click within a Web site. If not, you might need to allow pop-ups while using Windows Update.
Where do I go if I have problems installing an update?
See Windows Update
Help and Support for information about these and other options:
Why can’t I find an update after I’ve restored hidden updates?
Another update that you’ve installed has already addressed the same issue. For example, if you install a service pack or update rollup, your computer might no longer need the update that you’d previously hidden.
Why can’t I install some updates at the same time as other updates?
Some updates, such as service packs and update rollups, include several updates or address the same issues. Other types of updates require you to restart your computer before they can take effect. You must install these updates separately. You can then return to Windows Update to see if more updates apply.