I have a good description on how to manually check for Windows updates to make sure you are secure, just check out my previous blog entry on Security Help for XP.
If you have Vista, here are the steps to check your Microsoft updates. Microsoft released Service Pack 2 for Vista in July. This is a large update, so it might take a bit to download and install.
Click once on the Start menu (Microsoft Ball on the bottom left of the task bar)
Click on Control Panel
Click on Windows Update
If there are updates waiting, you can click on Install Updates. You can also View Available Updates, or check your Update History.