How do you do it though? There certainly isn't an Update icon sitting conveniently on your desktop that starts flashing on the second Wednesday of every month to remind you to, in your own best interests, run the program. We'll not worry too much about why such a thing doesn't exist, suffice it to say, it doesn't, and it's not that big a deal. Once one understands what regular updating is doing for them, and gets in the habit of running Windows Update periodically, it'll become as second-nature as checking your email every day (only a lot less often!).
As I'm sure I've mentioned elsewhere, there are a lot of very smart people out there putting a lot of effort into finding new and amazingly complicated ways of stealing your personal information, your money, or more than likely, both. For all of the good it is capable of facilitating, the internet can also be a scary place. Thankfully though, there are also a lot of really smart people out there working to help protect your computer, information, and even to some degree, your reputation.
It is the work of those people in the latter group that you never really hear about, and it is their hard work that you benefit from when you run, among other things (more on this in a bit) Windows Update.
Once pruned of the majority of it's complicated and technical information, a long and complicated story about the lifecycle of a computer virus looks pretty much like this.
"What about the ones that are infected?"
Those systems will still be helped by maintaining a regular schedule of running updates and patching, only the program that needs to be patched specifically for the already infected computers isn't the program that was initally found to have a vulnerability, instead it's their anti-virus program. Specifically, their anti-virus programs 'definitions' need to be updated.
So you see how that all works? By regularly updating your system you help yourself stay protected from the endless stream of viruses being written by the more unscrupulous members of our society.
One last thing. Java (Oracle), and Flash (Adobe) are really important ones as well, but they'll usually remind you, or notify you rather, when an update is available, they're awesome like that. Another one is your Web Browser so here are the specific sites for the major players in those regards:
As to the 'How' of running Windows Update For Windows 7 users it's as easy as typing the name of the program you're looking for in the search box (you can then right-click and pin it to your Start Menu ). For XP users you have the extra couple steps of clicking:
Start > Search > All Files and Folders
Typing the name of the program in the box, and once it appears, either clicking it to go to the program, or as I'd suggested for the W7 Users, right-click and pin it to your Start Menu.