Just the one that is within Internet Explorer. I am talking about the one where you select Tools from the top menu within the browser and then select Windows Update.
I'm running sp1 and that one works ok for me. I know that doesn't help you much SlickVic78, but I'd say that rules out the fact that it happens to everyone with XP.
Did you try cleaning out all your history,cookies, etc?
Another trick to try is go to C:\WINDOWS\inf, right click ie.inf, and click install (have your xp cd handy)
Hope you can get it fixed.