First and foremost you should ensure you have Automatic Updates turned on. The majority of customers have automatic updating enabled and will not need to take any action because security updates will be downloaded and installed automatically. For information about specific configuration options in automatic updating, see Microsoft Knowledge Base Article 294871.
If you don’t have automatic updates enabled you’ll need to check for updates and install them manually. For details on WU see ‘Explore the features: Windows Update’ site located at http://www.microsoft.com/windows/windows-vista/features/windows-update.aspx
Microsoft provides the latest security updates through monthly security bulletins available at http://go.microsoft.com/fwlink/?LinkId=83730
More technical resources can be found by checking the security alerts process at http://technet.microsoft.com/en-us/security/dd252948.aspx
-Joe