Confusion about updates/not working

Hello! I hope that someone can help me. I received a Windows' update alert
from AOL in my email. I waited until 8 p.m. for the update to automatically
start on my computer. Nothing happened, even after I waited a couple of
minutes. Yes, I was online!

I went on the Microsoft.com site and followed the links until I got to
"updates." I clicked on "updates," and a site appeared. In the right hand
corner a message appeared on the screen saying that I'm set up for automatic
updates. I clicked on the link, which showed that my updates' check are
scheduled for 3 a.m. every day. I changed that to match the 8 p.m. slot under
Control Panel in my computer. I went back later to click on and check that
setting on the Microsoft site. It went back to 3 a.m. Why? Is something wrong?

I manually installed the Windows updates on Microsoft's site, so that my
computer would be secure. Did I make matters worse?

Why didn't anything popup telling me that Windows was updating in the first
place? I didn't receive any "popup noises" from my popup blocker telling me
that something was trying to pop up. By the way, my Dell window pops up when
other updates on my system or software are available.

Another question...my Mcafee antivirus starts to download then disappears
before the download/installation completes. Does this have something to do
with the problem?

Any help would be appreciated.

I have WinXP with Service pack 2, 504 MB of RAM, and a Dell computer.