It is not suggested that you remove them. You will be open to MANY attacks
over the web. The installation files are not stored on your PC, if you wish
to write them to a CD you will have to redownload them from the Windows
Catalog.
The initial downloaded .exe file goes into Temporary Internet FIles, and
gets deleted from there in the ordinary course of that being emptied. I
suggest that you empty it before getting updates (purely for
convenience) then at the point where it is asking for confirmation of
the install, copy the file out to some other folder - let them
accumulate and burn to CD against any possible need for them again
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