Microsoft regularly releases free patches for Windows and Internet Explorer. These frequently fix security problems discovered after the release of the software. There are three types of patches: critical, operating system, and drivers. Critical patches should typically be installed unless you are running some customized software that might need to be tested with the patch beforehand. The other types of patches can be installed selectively as appropriate.

You can typically find the Windows Update wizard under {Start} {Programs} (then select it from the section up at the very top of the menu).

Otherwise, in you browser you can go to Microsoft: http://www.microsoft.com/windowsupdate

Windows ME, Windows 2000, or Windows XP can be configured to regularly check for newly released patches.