I recently installed SP2 and couldn't get windows update to run. Eventually I reset the internet zone settings to 'Default' in internet explorer. Apparently you have to have click here and http:// windowsupdate.com showing as trusted sites in the trusted zone under the Security tab in Internet Options in Internet explorer. I think SP2 resets your activeX settings.
If you know the Knowledge Base number for any updates - they will be listed on the Security Updates and Downloads page at click here - key the number into the KB search field and you will link to the information page and a direct download source.