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I don't remember which firewall I was using at that time, but it was a third party firewall.
AngelicKnight is right about it being a permission problem, because the patch would download, but not install. At the time I found out what it was, it was by turning it off and the installations working. By the time the next patch came around I was trying out a different firewall, and didn't have that problem.
Yeah, it's a double-edged sword -- some firewalls are far more advanced and configurable than others (why Sygate and Kerio are far superior to ZA, for example), while at the same time those firewalls make it easier for you to lock yourself out of your own trusted connections if you're not careful -- if you're a bit of a novice like myself, that is, me being the AO Village Idiot and all (hmm...if I hadn't already claimed "AO Autobot" that might make a good title ;)). The slightest misconfiguration can cause such a problem (as I showed in my Sygate thread), but a little patience and willingness to learn the ins and outs will go a long way.
Anyway, I'm starting to wander off topic...Just thought I'd throw that in there. :)
In a response to your question Simple Simon, I'm pretty sure that Microsoft's built in firewall only filters and blocks incoming connections. The reason why I had to turn my firewall off is because it was blocking an outbound connection, which Microsoft's firewall wouldn't stop.
That is also why I don't use Microsoft's firewall, because it doesn't stop outbound connections.