usually they are stored in your IE temp folder - so just delete temp IE files in tool/option. Depending what the down load was they may even be stored in a folder called \WUTEMP or \windows update setup files. Make sure you disable these on the win update web site so they wont be downloaded again.
If you have installed them just goto add/remove programs.
I've just downloaded some windows update files which I 'm not willing to install.
Could somebody be kind enough to tell me where these files are stored on my PC in order to cancell them ?
Thanks for help