I know what you mean and it is simple. In explorer create yourself a folder called upgrades (I suggest underneath MY DOCUMENTS) Then whenever you download an upgrade or indeed a piece of useful shareware always save it to this folder.
By creating sub-folders (e.g. Acrobat, AntiVirus, MS Office etc) and moving the downloaded files into their own folders you will have saved the download complete. Save the upgrade folder on a monthly basis to a CD ROM or back it up as pops suggested.
If ever you need to re-install your system from scratch you have all the upgrades to hand. It`s also useful if you need to give someone a copy of a program upgrade and save them time too!!