This is the solution. However, this is the Windows Vista method. It will work for Windows XP, but probably with diffrent steps.
Step 1: Start -> type Firewall at the search bar -> choose Windows Firewall
Step 2: Choose Exceptions (the middle tab)
Step 3: Click on Add Program
Step 4: Go to C: - > Nexon -> Combat Arms -> HSield -> choose HSUpdate.exe
Now, Windows Firewall will not block HShield from updating. This should work for everyone.
OR
Try turning off your anti-virus so Hackshield can update, then turn it back on once it is finished updating!