When you try and install these updates on a Windows 2003 server which is your RMS server, you may receive the following error
“Tthe system administrator has set policies to prevent this installation”
This is because in CU3 and 4 SCOM now has the updates for the cross platform components baked into the MSI and the MSI is now quite large, 1.2 and 1.3GB respectively. There is a hotfix for Windows 2003 required to enable you to install MSI which are of a large nature, the update can be found here – http://support.microsoft.com/kb/925336
Once you install the update, reboot and run CU3 or CU4 again and happy days.
If you need help with CU4, this is a good place to start – http://blogs.technet.com/b/kevinholman/archive/2011/02/01/opsmgr-2007-r2-cu4-rollup-hotfix-ships-and-my-experience-installing-it.aspx. Please also make note there is a know bug with installing update CU4 SCOM agents on systems, read the blog post carefully.