When you download the SQL,you have the option to download along with the SP.
For example:SQL Server 2012 Enterprise Edition SP3.
Service packs can also be applied later.
If you have downloaded SQL Server 2012 SP2,you can later download the SP3 and apply it.
Microsoft update does not download the SQL Server service packs.
OK thanks Ahmed, so it's basically to remind you of updates and it will just keep bothering us.
I guess I'll leave it.
At this stage you think once it says installation is successfully then my installation is complete, and if there are any new sp I can download them and install them later no need to do it right now?
Exactly
Yes. But IMHO you would be much better advised to install all the latest service packs immediately (i.e. "before any user-databases are created on the new SQL installation) and not wait for "later", otherwise you are leaving yourself wide open to any bugs / security issues that have since been fixed etc.
Perhaps what I am not understanding is why you would even want to consider postponing applying service packs after initial installation?
There may be requirements from the vendor to be on a specific service pack or CU version. You may be migrating from old hardware to new hardware - and want to insure the same level is maintained.
There are plenty of reasons to want to hold off on applying the latest service packs - but I agree that if you are building a new system then you should be installing the latest available updates.
Okay - now a clarification on my earlier response:
If you bypass the option to include the updates - nothing bad will happen. You just have to download and install those separately. However, if you include those then the installation performs a 'slipstream' installation and applies the service packs and CU updates at that time.
This option can save an incredible amount of space on your server/desktops - as each update that is applied later will be placed in the package cache and other installer locations.
Now - if you let SQL Server do this then it will download the service packs from Microsoft which will increase the installation time. However you can download the files yourself - and then launch the install to include those downloaded files - see this article for further details: http://www.sqlshack.com/slipstreaming-sql-server-2012-2014/
I agree. My advice should be "apply all appropriate service packs" - seems unlikely to me that would be "none", but I agree it might not be "all".
But the previous discussion was related to making the install, applying no service packs, and then applying them later either manually or via Microsoft Update. In the absence of a specific requirement from vendor etc. I just don't see any point in the delay, and I see lots of downsides (re: testing and potential security risks). Your points about time, disk space, and convenience are also relevant ... and would be important to me too 
The OP's concern is about not checking the box to include updates during the initial installation. That won't harm anything at all - and does not affect how SQL Server performs updates later. It just means you have to do it yourself after the initial installation...
The slipstream approach is my recommendation - and unfortunately I did not recognize that fact until just recently. I will be making changes to how I install SQL Server from this point forward to include this process.