You should do this at least once a month in order to keep your Windows sydtem up to date and protected against attacks. Updates are usually released after about one week into the month.

1. Close any open programs then click on the Start button in the bottom-left of your screen.
2. Click on Windows Update at the top of the menu. This will open the Windows Update site in Internet Explorer. If you can't find this link, just open Internet Explorer and go to http://windowsupdate.microsoft.com. Occasionally at this point you are prompted to upgrade the Windows Update software. Just click Yes / OK as appropriate, although I usually avoid the "always trust software from this provider" checkbox.
3. Click on "Scan for Updates". This will take a little while.
4. If it finds anything it will tell you. Click on Review and Install Updates. (I'm not sure that this step is required on your version of Windows)
5. The available updates should be listed in front of you. Click on Install now, and say "yes". Once it's finished it may ask you to reboot, in which case say Yes.
6. If there is more than one update, sometimes one of them needs to be installed on its own, which means you will probably need to reboot once it's finished and go through these steps again to install the other updates.