Procedure to download your OS updates from Windows Update to your local hard drive

Go to: Windows Update

Select personalize windows update from the left hand pane and
Tick the box which reads "Display the link to the Windows Update Catalog"

Then Click on save settings

Select Windows Update Catalog from the left hand pane

Click on the "Find updates for Microsoft Windows operating systems" option

Select (your required OS) from the OS list (It does NOT even have to be the one you are running at present).
Set your language options (default = english) then
Click on search

Eventually you will get :
"Your search returned xxx results"
Select from the list below to see updates found in each category.

The updates will be categorized in different sections such as:
Critical Updates and Service Packs(x)
Additional Windows Downloads(x)
Internet and Multimedia Updates(x)
Multi-Language features(x)
Recommended Updates(x)
Windows Tools(x)
Etcetera

Select each category in turn and select / unselect the required updates

Once you have done this Click on "Go to Download Basket"

The window will change with the title now showing:

Review and download your selected updates
Specify the download location of your choice, and then click Download Now.
To remove an item from your basket, click Remove.

Type or browse to the download location of your choice:

At this point:
Browse to and select the directory on your hard drive where you want the downloads to be saved to and then:

Click on download now

Once downloaded you can update from there and, if required burn, it to CD.

NOTE:
Each update is downloaded into its own sub directory on your hard drive.
To install any downloaded update, just navigate to the sub-directory and double-click the exe file.

All you need to do after this is periodically visit Windows Update and let it scan your PC for new updates. Any new updates highlighted can then be downloaded in the same way to the same download directory to keep your local updates up to date.