If you go into Control Panel and click Add or Remove Programs, scroll down and you will see Windows Updates. I suppose you could pick one and using the Search Function from the Start Panel you can see where they are on the HD. I have not done this myself, never really cared.
EDIT: I did a Search, put in KB9...., either apecific update or just KB9 as a wild card search. Found all the updates. Mind were under C:\WINNT
