When I install Windows, the first thing I need to do is install the latest service packs and updates. Can I bake this into the install cd?
The process is called Slipstreaming. Here is a step by step guide for XP (bit of a complicated hack). You can use the Vista Update Integrator with Windows Vista. There is the VLite tool for doing it under Vista. If you want an automated method under XP you can use NLite.