Well you can save all the updates click here
Personalize Windows Update...
Tick "Display the link to the Windows Update Catalog under See Also"
Click "Save settings"
You'll see "Windows update catolog" appear bottom left.
Click "Find updates for Microsoft Windows operating systems"
Scroll Down "Windows XP SP1" (if your operating system is different then select what you have)
Click "search" (right lower)
Click "Critical Updates and Service Packs"
Wait a few seconds...
Choose what updates you want by clicking "Add"
Now click "Go to Download Basket"
Click "Browse" and choose the place where the updates will downloaded to.
Click "Download Now"
Accept the License.
Updates will download.
You'll have to download first then install. Burn the update for safe keeping.