This feature is turned on by default, but you can turn it off by going to Settings > Update & security > Advanced options > Delivery optimization, and toggle Allow downloads from other PCs off. The catch, of course, is that your computer is also used as an update-sharing hub for other Windows 10 users.
A feature Windows 10 added is an optimized update delivery system, which lets you download updates from other Windows 10 computers over the Internet (not just from Microsoft's servers).
