Hi Ann,
I have searched google, alta vista and microsoft for a description of that error message, to no avail.
1. Can you confirm it is the correct error message.
2. Have you tried creating a policy so WinGate does not cache the Windows Update site?
(Windows) Start menu --> Programs --> WinGate --> GateKeeper --> Caching
3. Sometimes Windows Update can be restricted by security settings in Internet Explorer.
Internet Explorer --> Tools menu --> Internet Options --> Security tab
Click on the custom button, and in the drop down menu as shown in the image below, select low, then try to do your Windows Update again. If it still does not work, go back and change the custom setting back to its default (Medium?).