Please see the known issue and the work-around at at http://support.microsoft.com/kb/927978
I was notified of a security update (MSXML 4.0 SP2 Security Update (KB927978)) and did the install.
It seem to go fine becuase I get a message that said the install was correctly done. But a few min. later I am asked to install the update again. I do it again and once again it said the install went well. But I get another message to do the update.
I look at my add/remove program and the update is not listed.
The log file gets written but the actual update is not installed.
ps. There seems to be something else strange on my computer. I have a program that access these files on a particular directory. These files are occasionally updated. The updates don't seem to be written correctly. But when I tell the program to write those files to another directory, everything is fine.