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

Stay Up to Date Automatically

Automatic updates in Windows XP ensure that your computer is always current. Windows XP checks Windows Update for the latest updates whenever you are on the Internet, determines which updates apply to your computer, and downloads them in the background while you keep working or playing. If you prefer, you can have the computer continue notifying you with automatic balloon message reminders about updates. It's up to you! Here's how.

• Click Start, click Control Panel, click Performance and Maintenance, and then click System. On the Automatic Updates tab, click the setting of your choice.

Note: If you choose not to use automatic updating, you can install specific updates from the Windows Update Web site whenever you like.