Hi gauloises. If you Google Microsoft, on the search page you get there is a search box right on the link for Microsoft. I just checked it out. Type in "error code 3" and I think you might find your answer. Good Luck and let us know how it goes!
Has this happened more than once? You might try, if you have not already, downloading and installing IE 9 through Windows Update with nothing else at the same time.
You might end up doing a manual download and install, sometimes that helps with the updates that have problems. The link is just a normal IE9 download, not Windows Update.
Sometimes updates fail because something else is not installed or is installing. Hopefully it will work soon if you decide to wait. Sorry I do not know what the Code 3 means, but if it becomes necessary, we might be able to check some logs.
I just noticed on my system, there is an IE9 setup log located in the Windows\Logs folder called IE9_NR_Setup.log.
Mine does not show any errors and may just be a setup log, but you might check to see if yours does show any errors...It does mention possibly turning of an Anti-virus, so if you use one, you might try that.