I just ignore Windows Update popups. I'm sure this is a terrible terrible idea, but their website tends to make everything on my computer crash.
Erm, not all that terrible. I just install the service packs and be done with it.
With a good firewall and consciencious avoidance of virii I've never once had a problem (well, except for when my floppy copy of 3.1 was infected with a harmless virus).
It's only neurosis that keeps everything up to date (although it is worth using dx9.1b to avoid the midi hack!).