I'm sorry for not beeing specific enough.
My problem on all 4 computers was that when entering Windows Update and after I start searching for updates - the green bar (searching for available updates) just keeps going and going and going - indefinately. IE then hangs. Exactly same software and scenario on all 4 computers.
I only run the WinXP SP2 firewall - which basically means no firewall.
Anyway - the smart soul at Microsoft finally told me to disable Avast completely, I did, and then tried Windows Update again, and it worked perfectly. In other words - I don't really know which part of Avast blocking me - but it certainly was Avast!.
I have no other software installed, and nothing that possibly could interfer.
Again - this happened on 4 different computers.
BTW: Windows Update only works through IE.