In Windows 2008 (and Windows 7 if I remember well ... and probably Vista as well, though I've never tried it) if you set the Windows Update settings to "Download updates but let me choose whether to install them"
, Windows installs important updates without asking you anything. So much for "let me choose"
If you really want to be in control of what updates get on your system, choose the "Check for updates but let me choose whether to download and install them"
option. Unfortunately this way it'll not even download the updates in the background, but at least it'll not install any updates without your specific approval.