As you can see the update will uninstall you current Delphi 2007 installation, and then reinstall the one with the update. First question that raises is:
Now I will have to reinstall all components again?
The answer is No, you don't have to reinstall all components, as stated by Nick Hodges in this non-tech newsgroup thread. His exact words: "Nope -- all your settings will be retained. " .
Another tip, have your serialnumber available, because it is required for the install. (In case you are at home and the serials are in your office ;-) )
Updated: Argg I did not read the Installation notes properly, as Dave Keighan says in the comments it is not necessary to have your serials. (Only for new installation I guess) I could install update 1 immediately after all. ;0
More info in the Installation Notes for Delphi® 2007 for Win32® Update 1 document.