If you're using Windows Update, just click Review and install, and click install now. It will be downloaded and installed for you. You don't need to do anything. This way, you won't get a copy of the .exe file on your computer.
Or you can download the update file separately, either using Windows update catalogue, or download from elsewhere, to a location on your computer you specify. After the download is finished, go to that file, double-click, and it will be installed.