Pop in your XP cd. Exit out of the Autorun page.
Right-click My Computer - Explore - hit the + sign on your cd drive - click i386.
Scroll down through the W's, on the right side, until you find WUPDMGR.EX_
Copy and paste it into c:\windows\system32.
Start - Run - (type)cmd
In the command prompt window, (type) cd\windows\system32 (hit enter)
Now type: expand wupdmgr.ex_ wupdmgr.exe (there is one space between the underscore and the w)
The shortcut will work now.