I think I saw a thread a while ago about this matter. Or let's say that's the case if you mean that a Linux box should be able to download Windows security updates, store them and then deliver on to clients. Anyway, I don't think that's possible (for MS updates; updating Linux clients works if you setup a mirror of some kind on the server); Microsoft's updating system works trough MS Internet Explorer (only), and I guess it's somehow "secured" with other means too so that if the client connecting isn't really Windows, the updates don't work. Having said that, I'm sure there are people who could fake Windows so that it might be possible, but then again I believe it's against the Microsoft licences you accept if you use the service.
So, shortly put, I think Microsoft denies that. Surely it was possible if they would be a little more open.