Don't know about windows 7
In XP, if you go to control panel> 'automatic updates' you're given 4 choices. If you have selected "Download updates for me, but let me choose when to install them" the update will be downloaded and waiting to be install either by clicking the yellow sheild on the right of the taskbar or waiting for the prompt at shutdown.
In XP you have the choice to 'install' when you shut down or skip it and do it later.
This feature may have changed but maybe there's a similar one.
