If the fix suggestions that Windows Update provides you for the error do not work try the following:

1) Open an elevated Command Prompt window – click the Vista Orb (Start button), type command prompt, right click the Command Prompt shortcut in the Program list and select Run As Administrator.

2) To display the current proxy setting of Windows Update, execute this command:
netsh winhttp show proxy

3) If the proxy server is shown in the “show proxy” result, then execute this command to disable the Windows Update proxy setting:
netsh winhttp reset proxy