When you go to windows update click on "Personalize Windows Update" (in the left hand pane).Then put a check in "Display the link to the Windows Update Catalog" and hit the Save Settings button.

Now in the left hand pane you should see a link to Windows Update Catalog under the "See Also" heading.

Click on that link and then click on "Find updates for Microsoft Windows operating systems". Select your OS from the drop down menu and hit the search button. You'll then be presented with a choice of categories that will list any available updates.Click on a category and a list of downloads will be displayed.

Click the Add button for each individual download that you want,and then click the "Go to Download Basket" link.You will then be given the option to select the location on your machine where you want to save the downloads. Once you have saved the updates,you can back them up to CD,etc.