>If I understand correctly, SQL Server will delete the row before updating it?

No but it will put the row(s) before update in the DELETED table. IIRC in older versions UPDATE was done by deleting old record and inserting updated one. I think SQL 2000 can be configured to do that but by default it just updates record(s).

>Also, There is no BEFORE UPDATE trigger ?

No. There're only AFTER and INSTEAD triggers in SQL Server.