Erroneous Error

Each time I run WindowsUpdate on an XP Home computer, when I click on
"Express" or "Custom", the program starts looking for updates, and I get
an error message "Please change your Internet Explorer security
settings." I have been through each item in detail several times, I have
been through the KB articles (delete WUTemp, rename WindowsUpdate to
OldWindowsUpdate) but the problem persists. The security settings have
been set to Low, and microsoft.com has been placed into Trusted Sites.
Still, I cannot get past the problem. What have I overlooked? It's SP2.
The most recent update was August.