Is it a 'download' failure? or, did you mean "install failure"?
You must look for the "Error" codes & text in your Windows Update.log . What is your "Error" ?
%WINDIR%\Windows Update.log --Scroll all the way down (using Notepad ) to get to last sections of it,
where the last sessions will be.
C:\Windows\Windows Update.log (for Win XP & Win98 & Me)
C:\WINNT\Windows Update.log (for Win XP & WIN2000 )
Please check out the MS Windows Update Troubleshooter:
http://v4.windowsupdate.microsoft.com/troubleshoot/