Access the Microsoft Windows Update website through Internet Explorer (Tools-Windows Update). From there, do an initial scan and then on the left menu, there is an option to "View Installation History".
Unfortanately, you will have to do this on each individual server/pc.
MS's Baseline Security Analyser or hotfixchk utilities will do this for MS products, for multi-vendor you'd have to look at a third-party utility (never used them so couldn't recommend one)...
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