The first rule in enabling Windows updates is to make sure the Background Intelligent Transfer Service is enabled and started. You can check that by using Start > Run > type services.msc and press Enter.
From the list that opens, search for the mentioned service and check if it's started and enabled in Manual mode.
No matter the Windows version, this is rule number 1 regarding updates.
In Windows 7 you can find Windows Update in Control Panel > System and Security > Windows Updates.
In Windows XP you will need to browse to http://update.microsoft.com using Internet Explorer only because the update script needs this browser.