I had the same problem when downloading the update on my wife's PC via a wireless Internet connection. As crosstrainer has already said, leave the update running and give it time to fully download. I went off and had lunch and when I came back it was ready to install.
My problem is that after about 5 mins my download switches of with the message Download failed and it is usually about 19 percent downloaded.My connection is very fast.It says code 8007000l error,windows update encpountered uknown error. It will not even finish the download and says download failed.