Did his XP Pro come with SP2?
If so, the downloads for subsequent updates are much smaller.
If he bought a version with SP1 or no updates at all, he can order a cd from Microsoft for which they will only charge a small shipping charge - the cd itself is free.
When you go to Windows Updates to download updates I don't think you can get a chance just to save them to burn to a cd, at least I never tried it.
It would be worth a try, or possibly the following site may give you that ability:
Updates for any MS operating systemhttp://v4.windowsupdate.microsoft.com/catalog
How to download updates and drivers from the Windows Update Catalog," http://support.microsoft.com/kb/323166
Use Software Update Services
IT Professionals can use both Windows Update and the Automatic Updates service to configure a server on their corporate network to provide these updates to corporate servers and clients. This functionality can be useful in environments where some clients and servers do not have access to the Internet, or where the environment is highly managed and the corporate administrator must test the updates before they are deployed. For information about Software Update Services, visit the following Microsoft Web site:http://www.microsoft.com/windowsserversyst...us/default.mspx
I would think that you should be able to use the above method.