Not sure if you can save them without installing them. Although when downloaded you may have to read lience etc. and can decline before installing.
As you download them they will appear in the temporay internet files folders. You can then use explorer to drag and drop to a new folder of your choice.
Then install later I have save all the downloads so if I have to reinstall windows I can reinstall the updates without having to redownload.
SP2 will be available on Computer mag cover discs next month with all the downloads.