Have you customised your IE settings as WindowsUpdate does need ActiveX controls to be enabled?
You can check this under Tools->Internet Options->Security->Custom Level.
There are 5 options listed under 'ActiveX controls and plugins' starting with 'Download Signed ActiveX controls'.
I'd recommend you set these to 'Prompt', 'Disable', 'Disable', 'Prompt' and 'Prompt' respectively. You should then see WindowsUpdate prompting you if you wish to run ActiveX, which in this case you do.
Also, ru sure that the version of WindowsUpdate you have installed is correct?