Hmm, that was tedious. I've just spent a couple of hours confirming that an obscure bug was nothing to do with us. It turns out that if you upgrade Outlook 2003 to the very latest level (11.8010.8028 SP2), but you don't upgrade XP from its original version (i.e. no service packs, 5.1.2600 in this case), then Outlook puts up a dialog box complaining about a missing WINHTTP.dll.
Our best guess is that this DLL is needed for the junk email control in Outlook, and that it gets automatically installed with any of the XP Service Packsand that the Outlook updates just assume that the underlying OS has already been patched.
Of course, to confirm this needed an entire fresh install of Windows XP and Office 2003 on a clean machine….