The COA sounds OK - at least it matches the installation.
Yes, you can install the WAT Update - either using Windows Update as KB971033, or direct from Description of the update for Windows Activation Technologies
- you'll need the 32-bit (x86) version.
I doubt it will make any difference to your problem, though.
What EXACT error message do you get when you attempt to use the Anytime Upgrade procedure?
(You have retrieved the proper Key from MS, rather than attempting to input the PIN from the AU package?)