Download the burnable ISO from this link:
http://www.microsoft.com/downloads/details.aspx?FamilyID=2fcde6ce-b5fb-4488-8c50-fe22559d164e&DisplayLang=en
It is the ISO file for burning to a CD. It has what you want. The other download is a small EXE file that simply pulls the install file from the internet. Which means you have to be connected to the internet (online).
Ignore their suggestion to update via Windows Update. Some people just want an offline update before they expose their PC to the internet.