Microsoft releases necessary updates on the second Tuesday of the month. Your computer can be configured to update completely automatically, or to notify you before downloading or installing updates, or to not check updates at all. I like to know what's being updated, so I choose to be notified before downloading or installing updates.
If your computer updates itself automatically, you may not even notice. Possibly, you'll need to restart your computer and allow the updates to install and configure themselves. You'll see the message on the screen about not shutting off your computer - and it means it. Bad things come to computers that are powered off too soon during updates.
Even if your computer updates automatically, it's a good idea to go to the Microsoft Update web site occasionally to check for further updates. In Windows XP, an easy way to get there is to open Internet Explorer, then click Tools - Windows Update. Windows Vista and 7 users can check for updates by clicking on Start - Windows Update. Follow the prompts to install any new components necessary. Then click the Custom button, and let Microsoft check to see which updates your computer is missing. Look under High Priority and Optional updates (on the left side of the window after list is shown), and check to install any you think you'll need.
Don't know what to check? Don't check it without further investigation. In general, all High Priority updates should be installed as soon as possible.
Here's a link to the Microsoft Update site for information on this month's updates: