If you browse through the Exchange 2007 SP1 dvd, you will see a folder called “Updates”. It will only have a text file that reads “Updates added to this folder will be installed during setup”.
That is exactly what you need to do. Download the latest update and place the file in the Updates folder & it will be installed as part of your server installation. You can place the windows installer file as it is and exchange setup will validate the file & apply it if it is relevant.
This will come in very handy if you are building a number of Exchange 2007 SP1 servers with the latest patch. Normal method is to install Exchange 2007 SP1, restart the server, install the latest rollup and restart again. Though I don’t mind restarting the server couple of times while building it, the fact that you need to be there to do the different steps after each restart makes things hard, especially if you are building more number of servers.