Does the latest update of a product contain the previous updates for that product? For example, does update 2 contain update1 and initial release?
Both initial release and updates are a full product. Newer updates usually contain bug fixes (and maybe some new features) that previous updates and initial release don't have. So you just need to download and install one of them. I recommend you to download the latest update, unless you have specific reason to download and use an older update.
Intel Developer Support
Tools Knowledge Base: http://software.intel.com/en-us/articles/tools