Two options for controlling Automatic Updates.
You can right click on the My Computer icon and select Properties then select the Automatic Updates tab. Here you can check the box to "Configure Windows to notify you before downloading any updates............".
Any updates downloaded this way are probable kept for a short time in either your usernames temp folder or a special folder used by windows update. They would only be kept until installed then deleted without trace at the completion of the update process. (You can ask Microsoft, why?). Sometimes you can locate them in the System Restore folder but that can be awkward.
Or you can disable the "Automatic Updates" service in Services.
Do you updates manually.
By following these instructions you can save any update to disk for later installation.
Perform the following steps to view the Windows Update Catalog:
Visit the Windows Update Web site:
Allow it to Scan for Updates and note the details of any updates offered.
Return to the home page of the Windows Update Web Site.
Click Personalize Windows Update.
Select the Display the link to the Windows Update Catalog under See Also check box.
Click Save Settings.
A Windows Update Catalog link appears under See Also. Click the Windows Update Catalog link.
Click Find updates for Microsoft Windows operating systems.
Click the appropriate product (windows XP SP1 etc.), and then click Search.
Click Recommended Updates.
Locate the patch you want, and then click Add.
Click Go to download basket.
In the Type or browse to the download location of your choice box, type the full path for the folder in which you want to save the patch. Or, click Browse to browse to the folder.
Click Download Now.