A few people who have used Software Update to install OS X 10.6.5 are reporting an issue where the system will not open the downloaded update files. The Software Update utility will download the files, but then issue an error stating the files cannot be expanded. After this occurs, subsequent attempts to download the update fail in the same way.
This is likely because once the first update was downloaded, the system continues to use the same files every time Software Update is run. To clear this problem with Software Update, go to the /Library/Updates/ folder and sort the contents by "Date Modified." Then expand the top-most folder and you will see the most recent downloaded update listed at the top. Remove this file and optionally the other updates by removing the enclosing folder, and then rerun Software Update.
An alternative is to avoid using Software Update and use the standalone Delta or Combo updaters for updating. Download the appropriate updater for your system (if you are unsure, then go with the "Combo" version) and then boot into Safe Mode and apply it from there.