On Windows XP (as a Virtual PC), there is this little yellow shield icon on the task bar, which when you click on, will show the "Windows Update".

But sometimes it already has downloaded all the updates, and I wait and wait, and this small icon won't show up (and is not hidden).

So I have to go to START -> Windows Update

and it brings out IE with the Windows Update, but this one, it has to download all the updates all over again. Is there a way to make that little yellow icon show up on the task bar?

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You could try going to Start -> Run... and typing wuauclt then OK, which will run the Windows Update auto-update client again. This may then trigger it to resume the downloads and/or to install the updates.

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See this article to verify that you don't have one of the problems it lists:
How to troubleshoot problems connecting to Windows Update or to Microsoft Update

To re-initialize the state of Windows Update do:

  1. Stop the Windows Update service
  2. Navigate to %ProgramFiles%\WindowsUpdate, generally at C:\Program Files\WindowsUpdate
  3. Delete every file and sub-folder, except the V4 sub-folder.
  4. Expand the V4 sub-folder and delete every file and sub-folder except iuhist.xml, which contains the installation history.
  5. Delete %systemroot%\system32\windowsupdate (if exists this is a hidden directory)
  6. Restart the Windows Update service

Take a backup of the above directories before you start.

See also this article for some suggestions that may apply to your case:
Windows Update Problems

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