If you are interested in more details about the new lockdown features in the upcoming Windows Embedded Standard 8 then you should read the blog post in the new Approaching Embedded Intelligently blog from Microsoft:
What is lockdown and branding in Windows Embedded Standard 8, and where are my EEFs-
Microsoft published a blog article explaining why XP Embedded and Windows Embedded Standard 2009 cannot have Windows Update.
You can read the whole article on the new Approaching Embedded Intelligently blog: http://blogs.msdn.com/b/windows-embedded/archive/2007/04/04/why-can-t-i-use-windows-update-with-xpe.aspx