how to combine XP professional patches into one file (.msi, etc)

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I would like to be able to combine say 5 patches from windows update
for an XP workstation into one setup file, say and .msi file. I will
only have to run this setup file once and it will intall all of the 5
patches automatically onto the XP workstation from a cd. I there a
utility that comes with Microsoft that will do this. I would prefer a
free utility.
.

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