Microsoft Security

Microsoft : Updates
This is one of your most important security links.
Go there to download and install the latest updates [security patches] for your computer.

Microsoft : Turn on Automatic Updates
Windows XP has a feature that will allow the system to automatically download updates for you. If you turn on this feature, your PC will check for, download and install critical updates over night. This eliminates the need for you to periodically check for updates.

Go to the Windows Update website.
You will see a red shield and a Turn on Automatic Updates button.
To see how this works Click Here

Microsoft : Service Packs Better Than Patches
When most people think about keeping their systems secure, they think about security patches rather than service packs. In fact, one of the most frequent mistakes people make when performing security maintenance is to over-rely on patches and under-rely on service packs. You may be surprised to know that there are significant differences between the two, and that service packs, rather than patches, should be used. A patch is an update that occurs between service packs. A patch is sometimes also referred to as a hotfix. Most patches are built to correct security vulnerabilities, but are also used to correct critical stability or performance issues. The chief difference between service packs and patches is that service packs are strategic deliveries, where patches are tactical. That is, service packs are carefully planned and managed, and the goal is to deliver a well-tested, comprehensive set of fixes that is suitable for use on any customer's system. In contrast, patches are developed on an as-needed basis to combat specific, immediate threats to our customers' security.

Microsoft Download Center
This is where Microsoft list all their new and popular downloads. If you wish to search for any new security patches available use the keyword security_patch.