Is this the only site where you are having problems downloading a file?
Without digging around into your TCP/IP stack settings and the Administrative Services, the only thing I can think of off-the-top-of-my-head is to go to the WINNT\Downloaded Program Files folder. This contains Active X controls. Right-click each one, until you find the control with a code base and version that is for Windows Update. Delete it if it shows as being damaged. Then make sure that "Install On Demand" is checked in the Browser Tools\Internet Options\Advanced\Browsing menu. It may also be necessary to install the newest version of the <A HREF="http://www.microsoft.com/java/vm/dl_vm40.htm" target="_new">Microsoft Virtual Machine</A>. Then go back to the regular Windows Update Site, and allow the Active X control to be reinstalled after you access the site. Go twice, if it doesn't pop up the first time. Accept the terms, allow it to install, and see if you can now download the files.
You should also clear your Browser's History Folder and Temporary Internet Files before accessing the site, under Tools\Internet Options. If you have a firewall or some kind of ad or pop-up banner software running, temporarily disable it before attempting the downloads.
If none of this works ... then I'd suspect that the source of the problem lies somewhere else in the system, and not with the Update Site.
Toejam31
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