okay, I had some SERIOUS problems here!!!!!
I downloaded it all fine (took about 10 minutes for a 64.9 Mb download) and click Install and it gave me a Kernel Panic. Got me worried, but upon booting back up it looked normal, no damage done. Went back into Software Update and lowe and behold, there it was waiting for me to click Install again. I clicked that, and just left it to it's own devices. Did the install inside OS X fine, no problems there and then it went into the blue screen. Now I know that some people said it takes a while for the blue screen to go away, but is it really meant to take TWO HOURS? no no no I don't think so. Anyways, I took a (big) risk and held down the power for 4 secs and booted it back up again. It took (a bit) longer than normal to start up, but OS X is running fine now (that's what I'm on at the moment) and it says OS X 10.4.7 in the About This Mac window.
Should I do anything just to check it's all fine? I'm running check disk permissions at the moment...