Are you trying to setup updates to an individual machine, or trying to setup a network server which will download the microsoft updates and then distribute it to machines on your network?
For an individual machine, follow:
http://support.microsoft.com/kb/306525
For a network environment with a centralised server used to download and distribute the updates, follow:
http://technet.microsoft.com/en-us/library/dd939796(WS.10).aspx
MCITP Windows 7 Enterprise Administrator
