Have you looked at the selfupdate virtual directory in your Local website? We had a security (ssl) certificate installed for our company.. and that was our "problem" for this error message. I am now blessed with:
Event Type: Information
Event Source: Windows Server Update Services
Event Category: Clients
Event ID: 13040
Date: 28-3-2009
Time: 10:31:00
User: N/A
Computer: SERVERNAME
Description:
Self-update is working.
For more information, see Help and Support Center at http://go.microsoft.com/fwlink/events.asp.
What i did was at the properties tab of the virtual directory called "selfupdate", i went to directory security, then to edit and disabled the Require secure channel (SSL)!
Good luck, you could also review your IIS log (located by default in C:\WINDOWS\system32\LogFiles\W3SVC1) and your windowsupdate.log in C:\WINDOWS\
