I have windows XP and use IE. If I try to download auto updates etc from Microsoft I get an error message - unless I turn off the firewall - then it works fine. I don't like turning off the firewall so I wondered if there is anyway to overcome the problem?

Microsoft Update is checking your computers configuration, which is an acess from outside.
A firewall usually blocks any incoming connections but usually MS-Update should be configured as an exclusion.
I don't know the Trend-Micro in detail but it should have some eventlog that says: "blocked communication: <Application-Name or Connection-Name>" you should be able to add the blocked applikation to the exclusuion-list.
Just check the Manual of the Trend-Micro-verion you are using, it should be in the install-folder, and search it for "exclude or exculsion"