How to tell what Microsoft Time Zone Update you have

Windows XP, Vista and Windows 7 …
Have a registry value you can check to see if a Time Zone update has been applied.
Under the HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Time Zones registry key.
For Windows 7 and Vista, this is the TzVersion key.
Windows XP, it’s the KBLast key.
Windows 2000, is a mystery to me.

Windows 7
For the September 2010 Time Zone Update, the TzVersion key is set to 131728128.
Windows 7 Time zone

Windows Vista
For the September 2010 Time Zone Update, the TzVersion key is set to 131728128.
The lack of a TzVersion key means that you don’t have a Time Zone update applied.
Vista SP2 TimeZone

Windows XP
For the September 2010 Time Zone Update, the KBLast key is set to 131728128.
Windows P - Timezone key.
In the screenshot above, the KBLast key is set to 955839 .  Since that update (December 2008), it looks like Microsoft have changed the versioning scheme.

Windows 2000
?
Windows 2000 SP4

Further reading:
How to configure daylight saving time for Microsoft Windows operating systems
September 2010 cumulative time zone update for Windows operating systems

Update 1st October:
Added Windows Vista details.