I am RUNNING Windows XP Pro SP3.  I have windows update set up to download the updates and let me choose when to install.

When updates are ready I click on the message and a window comes up requesting an auto  install or custom install. I usually select the custom install so I can see what will be installed. All the elements appear to install without any problems at this stage. After installation is complete, but before rebooting, I check the UninstallKB... folders in the c:\Windows directory, all new elements are there.
After rebooting, all of those new folders are gone and about a day later I get the same updates to install again. This repeats day after day.
Any ideas what is going wrong?
THANKSI BELIEVE I found the problem.
At the time I started to have this problem I remember installing a program called Returnil. This is a program that, when turned on would prevent SAVING to system areas of the hard disk and registry. SOMETHING went wrong with the installation because the program show that it is "off", but when I tried to uninstall it, it stated that it cannot be uninstalled until it is turned off.
In the end I managed to uninstall it so that now windows works fine.