If you have manually moved the distribution share since you installed BDD 2007, updating the HKLM\Software\Microsoft\BDD\Distribution_Dir registry value to tell BDD the new location, you may notice that the patch install still tries to update the old location. This happens because MSI still thinks its in the old location.
To avoid this particular problem, you can add an additional parameter to the patch installation command line:
msiexec /update BDD2007_x86_Patch1.msp REINSTALL=ALL REINSTALLMODE=as DISTRIBUTIONDIR=c:\distribution /quiet
Just substitute your location for "c:\distribution" and you should be all set.
If you have made modifications to any of the scripts used in BDD 2007, you will want to make a backup copy of your changed scripts before installing the patch. The above command will cause the customized scripts to be overwritten. After the patch has been installed, you can compare the copied files against the newly patched files, then reintegrate your changes (if necessary - some of the changes in the patch were made so that you don't need to make as many script modifications).