In Vista,Windows Updates is set to download only the files which need to be updated ! eg if xyz.dll needs to be updated, then only this particular file will get downloaded from the Microsoft servers.
But if you wish to, then here are two ways I know of where you can download and save Windows Updates for Vista. However the discussion is applicable for all versions of Windows. You only need to use the applicable Update List.

Go to the Windows Update Catalog BETA site and click on Find Updates. Select the Vista (or appropriate version of Windows). Search or click on Advanced Search if you want to refine your search. Click Add on the windows updates which you would like to save. Having done this, go to the Download Basket and mention the location where you' like to save them. Click on Download. If you have any problems, you can always refer the Microsoft Knowledge Base Article :How to download updates and drivers from the Windows Update Catalog

Or then, there's another way !

Download and Use Windows Updates Downloader. It is a small utility that allows you to DOWNLOAD & SAVE all of the current Windows updates. All updates are downloaded directly from microsoft.com to your computer with a single mouse click. But first you will need to download the applicable update list; and install it.