I tried your advice WileE. Surprisingly, the problem is persisting.
The only update which installed correctly and automatically is "Microsoft Windows Installer 3.1".
Now I've been trying to install them manually.
What is weird is that as I go along I am realising that not all these updates are good for me!
For example, I get one KBsomething, which when I check it out see that it is for IE7 on Vista. And I have XP...
Also, some of the updates there are for server, or for Windows 2000.
Something's really wrong. I shouldn't even be getting the option to install these in Windows Updage...