Microsoft Regularly update their products by way of Online Updates and Service Packs. Windows updates are performed online via Windows Update Website.
Windows XP and Greater have a feature which is normally enabled by default to Automatically update your system with updates from Microsoft. If your system is not online during the scheduled time these updates are set to then updates may not be downloaded or applied to your system.
The default and recommend setting is as follows:-
To Open the System Properties, press the WIN key + Break Key simultaneously, or from the Control Panel Double click on System Icon.
To use the online updates available from Microsoft you'll need to have an active connection to the Internet, preferable a broadband type connection. Its also possible with dial-up but much slower!!
You'll need to Open Internet Explorer and from the tools menu choose Windows Update or Microsoft Update, Note the This update utility can also check for updates to other Microsoft Products including Office Product Suite.
You'll be presented with onscreen instructions guiding you through the update process, you can take the express installation path to get most critical updates available for your system.