Okay, way to give us relevant information, like what F%$#ing version of windows you're using, what service pack it's been patched to, whether or not you upgraded from a previous version, etc.
Assuming you're using XP...
Go to Microsoft's download center and search for Windows Installer 3.1. Once you find it, download the executable. Do not follow the link to Windows Update. You may have to validate your copy of XP, but chances are more than good that you won't need to. Once you get it, install it and reboot, then try to access the Windows Update site again. It should either give you a list of updates you need, or prompt you to install some new Windows Update software, which will turn out to be BITS2.0 and WinHTTP5.1. Once that's done you should be able to update.
If doing any of this just causes the error message you get to change, chances are good that you have some funky registry permissions that need to be fixed. It's not a simple process so I won't type it out here. Post again if you need it.