If you have the small yellow update icon that has an exclamation mark, near the clock, then you have updates that are waiting to be updated. If you click on that, you can allow the updates to happen. It is VERY important to make sure the updates from Microsoft happen.
I have a good description on how to manually check for Windows updates to make sure you are secure, just check out my previous blog entry on Security Help for XP.
If you have Vista, here are the steps to check your Microsoft updates. Microsoft released Service Pack 2 for Vista in July. This is a large update, so it might take a bit to download and install.
Click once on the Start menu (Microsoft Ball on the bottom left of the task bar)
Click on Control Panel
Click on Windows Update
If there are updates waiting, you can click on Install Updates. You can also View Available Updates, or check your Update History.