EDIT OF 6/19/2012:
New Instructions:
The FIX-IT’s for this KB have been released today for this Security update. They are available for download at : http://support.microsoft.com/kb/2686509 

For those people posting to the http://answers.microsoft.com/thread/0deeacb6-115c-419d-ac37-03ff8927b79c  thread seems to have a situation where some keyboard layout files are registered in the registry but the corresponding files are not present on his computer. As a result the patch will fail. I've typed up this visual how-to to make it a bit easier. Please note this is only one of three different errors types I've seen so if this doesn't fit your exact failure type, I will be attempting to document all three I've seen people report.  This issue typically occurs due to the use of Nlite to thin down the installation.

The other two reported failures are due to remapping of keyboard keys which can be found here, and files leftover from an upgrade from Windows ME or 98 to Windows XP documented here.,

You have a Windows XP that fails to install KB2686509. You go to install KB2686509 it fails with 0x8007F0F4 error.

Or you may see a message like this:

You DO have a log file anywhere on your PC called faultykeyboard.log file.  This should be in the c:\windows folder. 
The contents of the log file looks like (or very similar to) this:

And the details of the log file are (or are similar with the .dll file extension)

If this is your symptoms, see if following this will get KB2686509 installed.

Search for each of these files on the computer. Normally if you can find these you are to copy them to the c:\windows\system32 folder. But if you cannot find them then you can delete the registry entry for each of these keyboard layout files.

Step one, go to your Windows XP and click on the start button, then on run

Then in the run box type in regedit.

Now drill down the listing you see there and find a specific registry key.

HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Keyboard Layouts

Go to HKEY_LOCAL_MACHINE. Under there find System and click on the "+" to expand the location.  Now find a key called CurrentControlSet and expand that by clicking the "+" . Now scroll down and find the registry key Control and again click on the "+". Now find the key called Keyboard Layouts.
Right mouse click and export this file to a place on your computer like My documents.

Save this key in a place where you can find it again, like My documents

Now that you've exported this value, open up the file in notepad.
Right mouse click the file, and click on open with notepad. Click on Edit, then on Find Next (or hit F3) and put in one at a time, the listing of the kbd files found in your faultykeyboard registry file.

Delete the entire entry that contains the dll files in this registry file and delete them.

Go back to HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Keyboard Layouts

And save the original keyboard layouts file with a different name. You can, for example, add a 1 to the registry file name so you have a backup.

Save the edited registry file of Keyboard Layouts (the original file name) back into to the registry. You can click on the file and it will reimport it into the registry replacing the kbd files in the registry.

Now reboot your Windows XP.
Now attempt to install KB2686509 again either via manual download going to http://www.microsoft.com/en-us/download/details.aspx?id=29804 and downloading from there or using Windows update again. It now should complete successfully.

If these instructions do not work for these orphaned DLL files, please post back on the http://answers.microsoft.com/thread/0deeacb6-115c-419d-ac37-03ff8927b79c thread with your exact problem.