Microsoft Knowledge Base Article 311047 contains the following summary:

Install All Windows Critical Updates

Windows Update is the online extension of Windows that helps you to keep your computer up-to-date. Use Windows Update to choose updates for your computer’s operating system, software, and hardware. New content is added to the site regularly, so you can always get the most recent updates and fixes to protect your computer and keep it running smoothly. To use the Windows Update site to install all critical updates for your computer, follow these steps:

1. Connect to the Internet, and then open Internet Explorer.
2. On the Tools menu, click Windows Update .
3. On the Welcome to Windows Update page, click the Scan for updates link.

A check is run to determine the updates that are available for your computer. After the check is complete, a tailored selection of critical updates that apply only to the items on your computer is ready to install. A list of categories is also displayed with the number of updates that are available in each category noted in parentheses. It is recommended that you install all of the updates from the "Critical Updates and Service Packs" section.
4. To install all available critical updates and service packs, click the Review and install updates link.

A list of selected updated is displayed.
5. Click Install Now . If any of the selected updates are exclusive items that must be installed separately from other updates, then click OK to install the exclusive item. In this case, you must repeat these steps after you install the exclusive item in order to install additional critical updates.
6. After you read the license agreement, click Accept .

Depending on the updates that you install, you may need to complete installation wizards for product updates, such as updates for Microsoft Internet Explorer. Select the settings that you want to use, and then click Next to complete the wizard.

Note: You may have to restart your computer after you install critical updates. If you install multiple updates at the same time, you can decrease the number of times that you have to restart the computer.
Note You can also use the Automatic Updates feature to install critical updates. With Automatic Updates, you no longer have to visit the Windows Update Web site to scan for critical updates; Windows delivers them directly to your computer. Automatic Updates recognizes when you are online and uses your Internet connection to search for downloads from the Windows Update Web site. An icon appears in the notification area of the Windows taskbar each time new updates are available. You can specify how and when you want Windows to update your computer. For example, you can set up Windows to automatically download and install updates on a schedule that you specify. Or you can have Windows notify you whenever it finds updates that are available for your computer and then download the updates in the background. This permits you to continue working uninterrupted. After the download is completed, an icon appears in the notification area with a message that the updates are ready to be installed. When you click the icon or message, you can install the new updates in a few simple steps. For additional information, click the following article number to view the article in the Microsoft Knowledge Base:

294871 Description of the Automatic Updates Feature in Windows