windows update troubleshooting

I have been trying to use Windows update to download and install security updates as well as other critical updates. If the file is bigger than 600 KB, the file and/or files will get to the end of installation and then stall. It will never complete the installation. I am running a PIII 800 with 256 MB RAM and a DSL connection. Why could it be stalling, and what can I do to fix it? Would it help to close all other running programs while I’m trying to download and install?