The TechNet team has just published this key article Deploy cumulative updates (Project Server 2007)
Please read this article prior to deploying any Project Server Cumulative Update.
As a reminder the last cumulative update was released on October 28th: Announcing the release of the October Cumulative Update for Project and Project Server 2007
The equivalent article for SharePoint are:
- Deploy software updates for Windows SharePoint Services 3.0 http://technet.microsoft.com/en-us/library/cc288269.aspx
- Deploy software updates for Office SharePoint Server 2007 http://technet.microsoft.com/en-us/library/cc263467.aspx