I just installed a Windows Server 2008 Enterprise box for a SCOM R2 implementation we are working on. To finalise the installation I did a Windows Update and got the error 80072EFD and nice litle error message.
After a bit of research I found some posts about adding *.microsoft.com to trusted sites,. but that didn't work.
The next thing I tried was adding a proxy address to Internet Explorer, browsing to a site (and getting an error) and then removing it and trying again...and it worked! Phew...
