If your using winNT, win95, win98, win2k you can download the updates and stuff from their each respective download pages like
here
It works from my Linux box anyways.
You could download all the updates then burn em to a disk, I guess.
edit: I guess I missunderstood you a bit. But I don't think you can just keep the updates, unless you rescue them from the temperary internet files. Try to run a "find" search for one of the *.exe names of the patch downloads. Probably best shot is to download and save them your HD while you watch a TV program or something, so you don't have to sit there. Then save them to a CD so you don't have to download them all over again.
However for XP I can't get to their update download page. I get the generic runnaround page. Maybe they have it as a design mistake, maybe it's on purpose. I don't know.
Maybe e-mail them and ask for a link or something.