Regardless of how you obtain the patch/hotfix from Microsoft, one thing you should be aware of: All of the files that will be replaced are backed up on your hard drive just in case the update goes awry and you need to return your PC to its prior state. These older files that are replaced are stored in hidden folders in your Windows system folder. Over time these backup folders accumulate and can occupy a significant amount of disk space.
Note: Removing the backup folders makes it impossible to uninstall the Windows updates. However, it's unusual to have to uninstall an update unless it causes problems, and that will usually become apparent soon after receiving the update. So you can safely remove the backup folders for updates that are more than a few weeks old, and recover the lost disk space.
Update Cleanup is shareware utility that safely removes the backup files that were created when installing a Windows hotfix or service pack. This utility allows multiple selection and will also remove the associated Registry entries for these items -- entries that visibly show up as unnecessary program entries in the Add/Remove Programs panel.
Windows XP Update Remover lets you easily remove the $NtUninstall backup folders and associated uninstall information from your computer. It can also be used to uninstall Windows updates.