Last year, Microsoft finally came out with a Windows Update CD. It's a CD version of the key updates to Windows that you would get by running Windows Update. Of course, Windows gets a lot of updates, so every time you go to the Windows Update site you download many megabytes. Almost everything you needed would be on the CD and would install quickly. Then if there was more necessary, it would be a relatively small download.
But after releasing one CD, Microsoft has let the Update CD idea pass. But you don't need those CD's. You can make one yourself. Through a little known feature of the Windows Update site, you can download the updates yourself, individually, and apply them yourself. You can then take all the files and burn them onto a CD.
There are of course some good reasons to do this. If you ever need to reinstall Windows, you won't have to connect to the Internet before installing the updates, therefore you will not be vulnerable to attacks while downloading any patches. You can also let a friend borrow the CD for the same reason or so they don't have to wait up to a couple of hours while the updates download (especially when they are on a dial-up network).