Windows Update: Vista / 7
It is critical that you keep Windows updated as much as possible. Since Windows is the most widely used OS (Operating System) in the world, it is also the biggest target for security issues.
Microsoft currently issues updates on the second Tuesday of each month. The updates that you need to be the most concerned with are the Critical Updates. Generally, though, I would go ahead and install all of the available updates.
Vista generally defaults to automatically upgrading, so when an update is available, you'll see a little icon down by the clock. If you mouse over it, you will be told that updates are available.
Click the icon, and you will be taken to the Windows Update screen.
If you click View Available Updates, you can see what updates are available, or you can just click the Install Updates button. That will install the important updates.
It is important to note that you don't need to install all updates that are avialable to you. In fact, unless you see something that you particularly want, like a game or some add-on that Microsoft may be offering, I would recommend that you only get updates marked Critical or Important.
After you start the updates, the window will minimize, with a message that you can do other things. Once the update is complete, you will be notified, and if a restart is required, you will be asked to do so. One way Vista differs from XP here is that if a restart is required, Vista is not a naggy as XP. XP insists that you stop what you're doing and restart. Vist will allow you to postpone the restart. If the computer is idle, though, it will eventually just restart on its own.