...it means you have an update that was only partially successful. Or it was successful, but hasn't marked itself as completed on your computer. If you capture the exact text of the message you get, and search the Microsoft site for it, you can find an entry to tell you how to get rid of it. I dealt with it too long ago for me to remember the details (more than about 15 minutes). Sorry.

Wait a minute - something's dribbling out: I think you are on Vista. On the start menu, look on the left hand side: click "Help and Support". For a search term use updates. From the list click "Where can I find updates?" Click on "Click to open Windows Update". [At this point I should apologize for not knowing a more direct way to get to Windows Update, but this should work.]

Now on the Windows Update display, does anything look like it may be pending? Or does it say "Windows is up to date"? I believe that here you will find the exact update that is stuck in limbo.