My Windows XP SP2 doesn't contain a file by this name.
Hint: Trojans usually place setting in your registry to start when the computer is booted. This is likely the dll from the virus. Windows is searching for it but cannot find it, because it has been deleted.
If you're running XP, try this. Go to Start/Run/type "msconfig" without "'s. When this loads, click the start up tab. Look for Winupd.dll. If you find it, write down the entire path to the file, on a piece of paper, then uncheck it, click apply, click OK.
If you can locate it there, this should stop the error message.
To get rid of it permanently you need to clean the registry with some reg cleaning program or manually locate and delete the entry.
To manually remove the entry, Start/Run/type in "regedit" without "s. Follow the path, that you wrote down, to the entry. Look for the winupd.dll or similar name, then delete the entry.
Best of Luck