If you go to Windows Updates and choose the 'Personalize Windows Update' link in the left-hand frame, you get the option to tick the 'Add a link to the Windows Catalog' in the left-hand frame.
Select this, click Refresh, and then click the new link.
Then choose your OS, and all the Updates are listed. You can choose a location to save them to on your HDD, then copy them to CD.
The tricky part is being sure about which ones to instal....