On 98, they end up in a directory called WUtemp but then they get deleted at the last stage of the upgrade.
Have a shufty around the windows update page. Make sure that all your 'options' are ticked and then look for the corporate updates page. This will let you download and store each update singly. Be warned though, there are plenty of them and, as far as I can see, there is no automatic way to manage them.
For Win98 upgrades try here:
http://www.microsoft.com/windows98/d...=EN-GB&gssnb=1