There is no "error"... you're seeing an ad designed to exploit Windows Messaging service. Since this service is disabled after installing SP2, give that a try. If you can't install it (which I cannot see why it wouldn't let you), then you can manually disable the service.
However, I believe your problem has nothing to do with this ad. MS has stated on Windows Update for quite some time that at least SP1 would be required in order to obtain any updates from Windows Update. You're going to have to manually download SP2 from MS's website and install it before you can use Windows Update.