Windows Update
Windows Update will keep your computer up to date with the latest security patches and fixes from Microsoft.

For the classic Start menu:
Click on
->Start
->Windows Update

For XP Start menu:
Click on
->Start
->All programs
->Windows Update

In the screen that appears, accept to install the Windows Update engine (or something of the like) if the window appears. If you don't already have the latest version of Windows Update, you will need to restart your computer to continue. Reboot and then go back to Windows Update.

In the web page that appears, click on "Custom Install". I will explain the reason for this this later. If you haven't installed Service Pack 2, you will get a notification that it is available. For now, do not install Service Pack 2. I will again explain this more later. Instead, click on the button titled "Review Other Updates". Let it scan your computer once more and then install all updates from here. You may need to restart your computer and return here to retrieve additional updates. You're done when it tells you that you have no more additional updates.

Now... my reasoning. I told you to click on "Custom Install" so that Windows Update would not automatically install Service Pack 2. I have read a lot of mixed messages about Service Pack 2 on this forum and others, and I have seen more computers be ruined by it than saved by it (my desktop and laptop included). Microsoft still has a lot of fixing to do with Service Pack 2, and the rest of this post will help you do pretty much what Service Pack 2 would do anyways. Until you come back here, and a new thread says that everyone is pleased with Service Pack 2, stick with Service Pack 1 and the remaining updates.