I found this in a few different places around the 'net - hopefully it's helpful:

Use Windows Update to Keep Your Computer Current

Windows XP takes the chore out of keeping your software updated with the newest and best code for device drivers, security, reliability, and performance.

Windows Update is the online extension of Windows. It's a Web site where you find the most recent updates for your operating system, software programs, and hardware. Windows Update scans your computer and lists the code updates needed on your system. Then you can choose whether to download and install them.

• Open Windows Update.
• Click Scan for updates to find out about recent releases for your system.
• Click Yes when prompted to install any required software or device drivers.
• To open Windows Update, click Start, then click Help and Support. Under "Pick a task," click Keep your computer up-to-date with Windows Update.
  
• The first time you go to the Windows Update Web site, click Yes when prompted to install any required software or controls.

To use Windows Update, you need to establish a connection to the Internet.
You might need to be logged on as an administrator or a member of the Administrators group in order to perform some tasks.