Basically you need all the Important Updates as provided by Windows Update. No need for the firewall's advice here.
yes it is !!! is but recently i have such experience:
i wanted to download updates from update.microsoft.com
and there was an error - with error number that was not even mentioned in microsoft support ...
i checked the state of automatic updates and found that they was off
this was strange - i turned them on few time ago
i turned on automatic updates every where (i have 20- 30 computers in a domain 2003) ...
but the next day updates was turned off again
and there was the same error with update.microsoft.com
i started scanning and fond some viruses - 1sass.exe , sysmgr.exe and so on dated from
27.02.2009 (- these viruses was not cleaned by symantec till now) and what was my surprise
when on the cleaned computers on the shut down automatic updates was installed ,and there was no more errors at update.microsoft.com
so potentially there could be a virus that can disable automatic updates and even prevent manual updates
and so the good antivirus should not rely on microsoft updates ,and should help user to overcome problems with microsoft updates , and perhaps should not rely entirely on network antivirus updates but should include some offline updates.
thanks best regards