When I do not want to install certain updates (there is one that always breaks my PC's sound), I select "custom" from the automatic updates installer menu, and disable the update. Windows asks if I want to disable that update only for that session or permanently. I choose permanently.

Any idea how can I do that in an unattended CD?

To make it more clear, this is what I want:

• I make an unattended CD and integrate all updates except one update (let's call it KBXXX)
  
• I install Windows using that unattended CD
  
• Windows update is set to "Automatically download and install"
  
• Windows should install and download all future updates except KBXXX.
  

Is it even possible?

Thanks!

Yes. In this guide:

GUIDE: Download Everything Microsoft, WGA, Windows/Microsoft/Office Update ActiveX, et. al.

in the section Obtain a Clean or Customized DataStore.edb File, you'll find instructions on a procedure to do it.