Generally, new Vista computers have automatic updates set up. In fact, the Windows Security Center will warn you if it is not.
To check:
Click on the Start button at the lower left.
Type "wscui.cpl" in the search box.
Click on "wscui.cpl" in the search results. The Security essentials window will display.

The "Automatic updating" option should be green. If so, you're set.
If "Automatic updating" is red, click on "Change Settings."

Click on "Install updates automatically."
When Windows asks for permission, click on "Continue."
Windows XP
To check automatic updates (and to set it up):
- Click on "Start"
- Click on "Run."
- Type in "WSCUI.CPL" and click OK.
- Click on "Automatic Updates"
- Put a check mark beside "Keep my computer up to date."
Note: if this is checked, then you're set up already. Click on "OK."

- Put a check beside "Automatically download the updates."
- Set a schedule using the dropdown list.
- Click on "OK."
Once this is set up, you will be notified about new updates.

When you see this balloon, click on the icon it points to and install the updates.