I’ve just discovered that when Windows Update says “There’s no updates available at this time” it ain’t necessarily so!
If it’s been a while since your last update, or you expected updates, check the “Windows Update.log” (in c:windows under XP) for errors. Check the errors out at the self help Windows Update troubleshooter for a cure. If the first fix doesn’t, check the rest of the list for more possibilities. If that doesn’t help, there’s also the microsoft.public.windowsupdate newsgroup (useful, but a pain to dig around in).