You cannot download WGA (Windows Genuine Advantage) updates on a Windows XP computer that you purchased from an OEM (Original Equipment Manufacturer).
To workaround this behavior:
1. Start / My Computer.
2. Use the Help menu and press Is this copy of Windows legal?
3. Use one or both of the methods on the Genuine Microsoft Software | How to Tell Web page to validate your copy of Windows.
4. Once you have successfully validated your copy of Windows, you can download WGA updates.