I have a similar problem, but I don't even get an error message. Internet Explorer tells me that it is obtaining the latest version of Windows Update, and just churns away until it times out. It mysteriously started to happen about the time I installed XP SP2. I uninstalled SP2, and Windows Update began working again. I reinstalled SP2 and WU quit, uninstalled SP2 again, and W.U. wouldn't work that time(?).
A similar symptom occurs with the Microsoft Security Checker tool (sorry I forgot the exact name). It cannot make a connection with its update server, either. I have no other connectivity problems with email, IE, or McAfee, Spybot or Ad-Aware updates.
I'll check the firewalls, but are there any other possibilities? I went through the Windows Update troubleshooting steps, and they didn't help.
-thanks