While Windows-Update is running and after it has finished, even if MS tells you to reboot DON'T. Stay in your IE browser and don't leave the current/last page where you are on the MS-website. Now go to your \Documents and Settings\{username}\ Local Settings\Temporary Internnet Files\Content.IE5 (or .IE6)
Sort each of its weird-named subdirectories by Extension and look for the .exe files. Copy these to somewhere else, where you can find them again. Rename these files to something like W2K-KB829558-x86-ENU.exe. If you do this consistently, you will keep all hotfixes and auto-updates that MS supplies and installs automatically.
After saving those files, leave your browser and reboot if necessary.
If you do leave the website before picking these files out, you will lose them because M$ deletes them (after all they ARE temp files)!
Alternatively, pick the Corporate option on the WindowsUpdate page. There you can select updates for your OS, say W2K/SP4, and download the whole shebang or whatever you want you want.
If you don't want M$ to update automatically, in your Services set the "Automatic Updates" to start-type Manual.