I know this can be handy and it can be done without installing big and complicated software like WSUS. All you need is a small utility you can find here. Don't worry, the software is in english and its very easy to use.
After you download and extract the archive launch DownloadStarterGUI.exe to start. Then select OS versions you need and check ISO image type you want. The program will use WGET to get all updates and make the CD/DVD image (you will find it in the "iso" folder). For Windows XP total downloaded size will be around 550 MB.
I think this is a great tool for people who want to update computers without an internet connection. Also, you can use the CD when you install a fresh copy of Windows and want to make updates without connectiong the computer to internet. No Vista support yet.