Just thinking out loud. Since you say that it needs a CD, that you don't have, I would "think" that if you clicked on the shield it would try to do its thing, but it can't, because you don't have the CD, at which point, you could just cancel the update.
Just wondering, I have "never" been asked, from windows update for a CD, what is it trying to update, if you don't mind me asking.
I know this should be simple but I cannot figure it out. I have a system running Windows XP pro. During a manual system update (Windows Updater) I hit the button for express, and the updater has added a program that is requesting a disk I do not have. My problem is that I now have the "yellow" shield in the system tray, and I cannot remove the update. I cannot find anything that shows how to remove an update - before it's actually an update. Any Help? I would appreciate it.