As Steve says, use automatic updates and if there's something that you need urgently then just download the individual patch executable.
I subscribe to the Microsoft security bulletins by email so you are notified automatically and you get a link in the email to the files
http://www.microsoft.com/security/bulletins/alerts.mspx
If you have a few machines at home then it could also be worth setting up WSUS
http://www.microsoft.com/windowsserv...s/default.mspx