All versions of Windows ship with Automatic Updates (aka Windows Update or Microsoft Update) enabled by default. In Windows XP, it is accessible via Start menu or Tools / Safety menu of Internet Explorer; in Windows Vista and 7, Windows Update is located in Control Panel.
Windows 8 has a simplified Metro-style app and the traditional Control Panel version that allows full configuration.
Windows Update automatically patches security holes (if set to do so) and therefore enhances your computer's security. It is strongly recommended to keep the feature turned on to stay safe online.
Non-Microsoft programs can be kept up-to-date with free Secunia PSI.
You should ensure you have enough free disk space before installing updates - at least 1 gigabyte of available space is recommended. For Windows Service Packs, even more free space might be required.
In Windows 8, Automatic Updates downloads new patches only on non-metered connections to avoid high charges on mobile (GSM, 3G, 4G) and dial-up connections. You can still force Windows Update to download and install the patches on metered connections manually.
If Windows Update constantly displays errors before or after checking for or installing updates, tries to apply the same updates repeatedly or completely fails to check for updates, read the Repair Windows Update article for easy troubleshooting.
If Automatic Updates/Windows Update has been turned off for a long time and you would like to apply updates now, make sure you perform a full scan with free products like avast! Free Antivirus or Microsoft Security Essentials first. Also scan for other malware with Malwarebytes' Anti-Malware to be sure that your PC is not infected.
Having a complete backup of your computer is also a good idea in case something goes really wrong.
Accessing Windows Update configuration
In Windows XP, you can launch Windows Update by opening Start menu and clicking Control Panel.
If Control Panel is in Classic Mode, double-click Automatic Updates.
If Control Panel is in Category View, open Security Center and then click Automatic Updates.
In Windows Vista and 7, click Start button or press Ctrl+Esc on your keyboard and type the word update into Start menu Search box. Then click Windows Update.
In Windows 8, open Settings Search using keyboard shortcut Windows Key+W, type "update" into Search box and click Install optional updates. Please note that clicking Windows Update will take you to Windows Update tab of PC Settings app that provides no configuration options.
If there are updates available, Windows Update icon will be displayed in Taskbar Notification Area. Click it to open Windows Update in Windows Vista, 7 or 8. In Windows XP, this will not open configuration options, though.
Scheduling Windows Update and enabling updates for all Microsoft products
Automatic Updates/Windows Update is now open. First let's select a good time for Automatic Updates.
While Microsoft publishes security and stability updates on second Tuesday of each month, there are times when patches for critical vulnerabilities are released outside the schedule. That's why you should set your computer to look for available updates every day.
In Windows XP, make sure you have the Automatic (recommended) option selected. Then select Every day and set the time when your PC is most probably turned on in the Automatically download recommended updates for my computer and install them combo boxes.
Click OK to close the window and apply changes.
In Windows Vista, 7 and 8, click the Change settings link on the left:
In the Choose how Windows can install updates window, make sure Install updates automatically (recommended) is selected.
Next, ensure that both Give me recommended updates the same way I receive important updates and Allow all users to install updates on this computer boxes are checked.
In Windows Vista and 7, select Every day and set the time when your computer is most probably turned on in the Install new updates combo boxes.
In Windows 8, click the Updates will be automatically installed during the maintenance window link instead. Then, in the Automatic Maintenace window, set the time when your PC is most probably turned on in the Run maintenance tasks daily at combo box. Click OK.
Finally, click OK to close settings. Do not close the Windows Update window yet!
In case you have already enabled Microsoft Update in Windows Vista and 7, there are two more combo boxes available - Give me updates for Microsoft products and check for new optional Microsoft software when I update Windows and Show me detailed notifications when new Microsoft software is available. Make sure both of the options are turned on. You can skip the rest of the article then.
Enabling Microsoft Update in Windows
Microsoft Update is like an add-on to Windows Update/Automatic Updates - it enables updating other Microsoft software such as Microsoft Office products, and installing free software such as Microsoft Security Essentials or Windows Live suites.
Click here to show or hide instructions for turning on Microsoft Update in Windows XPLaunch Windows Update by opening Start menu and clicking Windows Update on top of All Programs menu. You can also open Safety menu in Internet Explorer 8 (Tools menu in Internet Explorer 6 and 7) and click Windows Update.
Windows Update will check its version and Automatic Updates settings on your PC first. This might take several minutes if you run it the first time.
After the checks are complete, click Go in the Get Microsoft Update today! section.
Click Start Now on the Microsoft Update introductory page.
Ah, the license agreements! To put it short: as with any other product, you are responsible for everything and there is no way that the product creator is responsible for something. 
Click Continue.
Next, Microsoft Update software will be downloaded (this might take a few minutes on slower connections) and a yellow Notification Bar appears. Click the bar and select Install ActiveX Control in the menu to allow installation of Microsoft Update.
Next, Internet Explorer pops up its own Security Warning. As long as Publisher is Microsoft, it is safe to click Install here.
After a short while, the setup is complete and you can click Check for Updates.
Microsoft Update is now available in Start menu, All Programs. Also, the Windows Update command in Internet Explorer now automatically leads to Microsoft Update.
Click here to show or hide instructions for turning on Microsoft Update in Windows Vista, 7 and 8
If you have not yet enabled Microsoft Update, there is a link titled "Get updates for other Microsoft products". Click the Find out more link:
If Windows Vista, 7 or 8 has already received and installed an update to Automatic Updates mechanisms, you will just see the following dialog.
Click the Yes, tell me about new software (recommended) button:
Then click Continue or Yes in User Account Control prompt and Microsoft Update is ready to rock.
In case your Windows has not received the update, Internet Explorer will open. Check the I agree to the Terms of Use for Microsoft Update box and then click the Install button.
User Account Control will ask whether you want to allow Microsoft Update. Click Continue or Yes.
Windows Update will then check for updates. Don't hold your breath, for this might take several minutes.
Again, if you encounter repeated problems with Windows Update, read the Repair Windows Update tutorial.
