Microsoft Knowledge Base Article 898588 contains the following introduction:

If you access downloads on the Microsoft Windows Update Web site that are specific to Windows, you are prompted to complete the Windows Genuine Advantage (WGA) validation check process. A mandatory-update ActiveX control performs the validation check to verify that your copy of Windows is genuine. If your copy of Windows is genuine, you may continue with access to all downloads or you may receive other messages or other validations. If your copy of Windows cannot pass the validation check, you return to the Microsoft Windows Update Web site. After you return to the Microsoft Windows Update Web site, you obtain access to either all downloads or to only non-Windows downloads.

Note Windows Update version 5 and Automatic Updates are not affected by a WGA validation check.