Sintaxis de consulta de actualización de SQL con combinación interna

El SET debe ir antes de FROM\JOIN\WHERE parte de la consulta.

UPDATE CE
SET sJobNumber = AD.JobNumber
FROM CostEntry CE 
    INNER JOIN ActiveCostDetails As AD 
        ON CE.lUniqueID = AD.UniqueID
WHERE CE.SEmployeeCode = '002'
    AND SubString(CostCentre, 1, 1) = sDepartmentCode
    AND substring(CostCentre, 3, 1) = sCategoryCode
    AND substring(CostCentre, 5, 2) = sOperationCode