Go to
http://www.mlin.net/StartupCPL.shtml and download the exe (rather than the cpl) and see if the wupdt.exe attaches itself to anything on startup. If it does, remove it.
Invest in adaware pro (at
http://www.lavasoft.com), if not only for the adwatch plugin. I find it an invaluable tool. Run that, to see when changes are made to the registry, and if the wupdt.exe tries to reattach itself, deny it.
Restart the computer in safe more (hit F5 or F8 as its booting up, don't remember which), and delete the file, and any other malicious software.
Edit: fixed links