If you’re using WSUS, you can get the info from there. I wrote an article about it here: http://www.powershelladmin.com/wiki/Check_when_servers_were_last_patched_with_Windows_Update_via_COM_or_WSUS
It strikes me that the code seems a bit overkill, but… That article also has a script that uses COM (locally via PSremoting or remote COM – the latter being a firewall pain) – also in an asynchronous version. This will probably take some time the first time you run it. The only real benefit that I can think of that the COM script offers over Richard’s registry check (which is a lot simpler and faster – why didn’t I think of that) is the name of the update, though (and you can edit the code to get them all, should you need it). The latter COM script exports to CSV and HTML for you automatically (and exposes global variables to the calling shell).
The asynchronous script looks like this on a test run in my lab environment:
http://www.powershelladmin.com/wiki/File:Get-Last-Update-Async-Example.png