They're kept so that they can be uninstalled or rolled back - if you got to Add or Remove Programs, you will find an option Show updates, which if checked, lists them along with all the other software that can be uninstalled.
There's no reason why you shouldn't delete them periodically, just don't do it within a few days of installing an update - make sure that all is stable first.
Having said that - I can't think of any reason why your ISP's help desk would ask you to delete them - all they do is take up space.