can you connect to other sites ok? what is the exact error or what do you get displayed on screen when you try to visit windows update please? what happens when you click here or click here
do you use a firewall and if so have you checked the settings?
what version of windows do you use and when did this problem start happening? if its windows me or xp and its only started happening reciently then try system restore maybe.
do you use any antivirus software and if so, when was the last time you updated it and ran a full scan? do you also run any checks for spyware at all? just in case its worth running these to check maybe.