Problem:
Running wupdmgr on a Windows XP Pro SP3 Box throws "[Error number: 0x800A01B6]." in Internet Explorer
Trying wupdmgr on several Windows XP Pro Boxes and the error is duplicated.

Cause:
Cisco ASA firewall configured to do ActiveX Filtering blocking the Windows Update ActiveX component

Resolution:
Turn off ActiveX filtering for Microsoft Update sites.

Using the ADSM console created this code:

filter activex except 0.0.0.0 0.0.0.0 0.0.0.0 0.0.0.0 

Note: This turns off ActiveX globally and may not be what you want.