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What are they?
When Microsoft Windows is released, it's not perfect! No software is ever released perfect. Over time, bugs are found. Bugs are just errors in programs that didn't get detected during testing. When serious bugs are found, a critical update is issued. Microsoft will issue the fix, along with a page of information about the problem and solution
How to get Updates
Getting these updates is easy! Microsoft Windows Update site detects your Windows version, and the updates that you have, and have not downloaded. It then presents you with a list of updates that you have yet to download, along with more detailed information. The process is simple, go here to scan now.
As one would expect from the name, these are critical. A very high percentage of these are security fixes that Microsoft have detected. For this reason, it's important they are carried out, without them you may be vulnerable to attack from known exploits, it could also help dangerous exploits spread. A few of these types of update may fix errors with normal operation, but this is rare.
These are updates that are not important to most users. They may include performance fixes that affect certain software, probably that you haven't noticed. You only need to download these if you are affected. Windows Media Player updates and new versions may appear in this section.
These are updates for drivers for hardware such as graphics cards, printers etc... You should probably try and obtain the correct driver for your hardware from the manufacturer if an appropriate one exists. If not, you could try the Microsoft driver for your hardware.
These are collections of updates. Over a period of time, many updates accumulate, and Microsoft group them together as a Service Pack. You can usually either download these, or order them on CD for no cost.
How Often? Will if fix my problem with program X
You should do critical updates as they become available. Doing 300 or 400kb each time they become available, is better then waiting for 20 and doing about 10MB. It also could make your system more secure, and avoid the spread of exploits. In the recommended updates, you can download a critical update notification advisor, which tells you when they become available.