That's easy.
Example:
1. Look in the update history to the KB-number. The latest cumulative update was KBN457469.
2. Go to the right page of the update catalog. That was https://www.catalog.update.microsoft.com/ScopedViewInline.aspx?updateid=f95e51b9-03a6-4d85-aae7-86e48b69c96a . I clicked on the link for the version of my OS (64-bit Windows 10)
3. That went to https://www.catalog.update.microsoft.com/ScopedViewInline.aspx?updateid=f95e51b9-03a6-4d85-aae7-86e48b69c96a which said there's more information in https://support.microsoft.com
/help/4507469/windows-10-update-kb4507469
4. That had both general information and a link to a page that gives details of all files it contains.

So the short answer is "On the web".