If you restart the RHN update agent, it will most likely detect that all the files have been downloaded, and will just proceed to install them. If they didn't finish downloading, it should pick up where it left off.
2 words of caution -
1) RHN is notorious for being EXTREMELY slow and buggy. I would strongly suggest you use yum for updating. It is much faster, and always seems to work, whereas I used to get many timeouts and other issues with the RHN updater. Open a terminal, su or sudo, and do
which should download and install all the fixes.
2) RH9 is ancient by linux standards. It is no longer supported by the guys that made it. If you like Red Hat, I would suggest using the latest version from them, which is Fedora Core 3. You don't have to stick with them, you can install any distro in any version you like, but I would urge you to get a current version.