New vulnerabilities and flaws are found in Windows each and every day. Fortunately Microsoft releases patches occasionally to close up some of these holes, but it's up to you, the user, to make sure that they get installed one way or another. These patches are growing increasingly important as "malicious computer specialists" are finding ways to exploit the holes more quickly.
The easiest way to make sure your computer stays up to date is to enable Automatic Updates. You will find options for configuring them in the Control Panel under the System icon. (Depending on how your computer is set up, you may have to select Performance and Maintenance before selecting the System item.)

(This property page may look different depending on the version of Windows installed, but the options will be similar.)
The preferred and easiest selection is Automatic. This will enable Windows to automatically download and install (at a time you may specify) any critical updates that are available. It would be best to select a time that your computer is not in use, but is turned on.
The third option will notify you when critical updates are available but will not download or install them without your consent. This might be a good option for users still on dial-up internet.
The fourth option will disable Automatic Updates. I strongly discourage this, but if you feel that you need to disable it you should absolutely check Windows Update often for new critical updates.
Microsoft has also unveiled a site that provides updates for "all Microsoft products." Most commonly, Windows and Office. Check it out: Microsoft Update.