One of the coolest parts around CRM's setup is the ability for the setup program to automatically update CRM to the latest edition with all of the HotFixes that have been published.
When you install Microsoft Dynamics CRM 4.0, or when you upgrade to Microsoft Dynamics CRM 4.0, you can check for setup updates. If you select the option to check for setup updates, the application downloads any new setup updates and applies them to the installation while the setup process is running.
This article covers the HotFixes and how to get them if you don't have Internet access during setup.
As with this and the other article, the article updates may trail the actual releases of the HotFixes.
How to obtain the setup updates for Microsoft Dynamics CRM 4.0