| Recently (March 2012), there was a major security hole found in the windows Remote Desktop Protocol (RDP) where someone could gain root access to the OS through RDP.
Microsoft released a patch for it. However, the patch could only be installed if one had XP Service Pack 3. Besides the time required to install SP3, there is also the problem that SP3 can cause critical programs to misbehave on your system so many admins were only running SP2. Microsoft should have released a patch which would work on any service pack.
One problem that you can run into is that Windows Update may say that it has difficulty reaching its website. So, you might play with your firewall settings to get the updates and find out that there are no settings where it will work.
The solution is to manually install the standalone version of Service Pack 3. After you have done this, windows update through Internet Explorer will be able to work correctly.