By the way I did have an initial problem installing the updates (I'm running Windows XP Pro SP2).
I got an error message running the "setup.exe" of Gaetan's installer:

After a search around I found the fix so if anyone else gets it, this is what you do...
You need to make sure all of the following files exist in "C:\Windows\System32":
Autoexec.nt
Command.com
Config.nt
If any are missing you need to copy them from "C:\Windows\Repair".
Afterwards reboot, and the installer should work from then on.
Also take care if like me you don't use the default path for your MSTS installation.
The installer proposes "C:\Program Files\Microsoft Games\Train Simulator\Trains" as the installation path.
If you modify this to your MSTS installation path don't leave out the "...\Trains" folder at the end or the patch(es) won't install correctly.
(as a consequence the patch will be installed into "...\Train Simulator\Trainset" instead of the correct "...\Train Simulator\Trains\Trainset")
Hope this helps,
David.