When re-installing Windows, you should always do so without any network physical connection (meaning unplugged network cables) or you risk infecting yourself via various exploits (for example there is at least one virus which scans the LAN for PCs to infect). Now heise security has put together a tool to download the security updates on an other computer and transfer to a CD/DVD: Installing Windows updates without an internet connection. Disclaimer: I have never used this script.
An other thing which I didn't try out yet but look good, is the collection of security updates as as ISO images over at Microsoft.
A third solution which I did use several time is AutoPatcher. It is a very nice solution, however you should know two things: there are two kinds of AutoPatcher install kits: full install and and update install. You should always have the last available full install and the following update installs. An other thing to keep in mind is that the package contains many additional software, so you should carefully look at the list before launching the installation.