I think they are .dmg files that are ejected on restart.
Having read these forums about incomplete downloads using Software Update, and it either doesn’t install or causes havoc on the OS, I no longer use Software Update to install new updates.
The safest way to install the updates is to go to the Apple Downloads page:
http://www.apple.com/downloads/macosx/
Use Software Update to see what updates you need (I usually write them down, but never install them from there). Then go to the Apple website above and download the .dmg file to your desktop. Next, open Disk Utilities (DU), select the .dmg disk image in the left sidebar, and click verify disk. It will let you know if it is a valid disk image. Most take about 2 seconds for DU to verify. When it’s verified, it should be safe to install.
If you are using a modem or DSL it is more likely to download a corrupted disk image. And the larger the download (like 500 MB) the more likely it is to get a blip in it.
Also, if you have several updates to install, it’s best to download them one at a time, verify it, and install each one separately. If you download several disk images, and the first update requires you to restart after the installation (like the recent security update) the other disk images will be ejected on restart and you’ll need to download them again. I don’t think iTunes, iPhoto, or iMovie require a restart. I don’t remember if Java did, but most any OS update will require a restart.
This may seem like a cumbersome procedure, and it is compared to using Software Update to install updates, unless you get corrupted downloads, as apparently you did and had to redo it several times. Fortunately the failed downloads, and attempted installations, didn’t disable your OS - this time.