For the latest security update, there has been some confusion and problems installing it. There is actually an easy way to fix that, as described in the following kb article

Error message when you try to install a SQL Server 2005 service pack: "SQL Server Setup failed to modify security permissions on file Drive:\Program Files\Microsoft SQL Server\MSSQL.x\MSSQL\Data\ for user SYSTEM"

http://support.microsoft.com/kb/916766

 In summary you will have grant the apprioate permissions on the data folder that the update is able to apply the changes.

-Jens