What's new in Mac OS X Leopard?
Instead of installing an update one by one and then showing you the status in Software Update (a behavior in Mac OS X Tiger), Software Update in Leopard will download all the updates you have selected and then installs them.  See the following link that describes how Software Update works in Tiger.  Pay close attention to the image in step five.

Another change in Leopard is that you can allow Software Update to automatically check for new updates in the background.  It will then notify when a new update is available.  You can choose to install the updates immediately, defer it to a later time, or tell Software Update to ignore the update.

Manually running Software Update

1. Choose Software Update from the Apple Menu.  You'll see a a check for new software will initiate.
   
   
   
   If during the check updates are identified, a list will be created that shows the available updates.  Software Update displays information about a particular update.  Just click on an item to view its description in the lower pane.  Some update will show a left pointing arrow, an indication that in order for the update to be installed your Mac, a restart will be required
   
   
2. Select the items you want to install (uncheck the items you don't want to install)
   
   
3. Click Install on the lower right corner.  Notice that in this example there are eleven updates hence the button states "Install 11 Items".  The button automatically updates based on the number of updates that will be installed.  This will change based on the checking / unchecking of boxes or the number of updates identified the next time you run Software Update.
   
   
4. A box will pop up asking you to enter you Mac Admin user name and password
   (I've have removed the name in the image below)
   
   
5. You'll see a progress of the update in that it will first download updates as follows:
   
   
6. The next round of screens will depend on whether or not a restart is required or not.
   
   (a) If a restart is required you will be shown the following box.  If you click 'Restart', the install will proceed.
   
   After this screen, Software Update will transition to a procedure that takes over control of your Mac, installs the updates, then restarts.
   
   (b) If a restart is not required, the install will proceed as follows (note that the following screens are from another run of Software Update, not the one shown above):
   
   
   If you click 'OK', Software Update will subsequently check if any other updates are available.  It does this because you might not have selected to install a particular update or because some updates show up after prior ones have been installed.  Notice that it places a green checkbox to the ones that have already been installed.
   
   
7. Once all updates have been installed, Software Update will show the following:
   
   This will be shown immediately after all updates that do not require a reboot have been installed or after Software Update is re-run following the installation of updates that required your Mac to be rebooted.