Somewhere in your Windows XP Control Panel there is a section governing Automatic Updates. Open this, and look at your settings.
If your updating is on full automatic, Windows will periodically (either every day, or one day a week, at a specified time) download updates, install them automatically, and reboot your computer without asking you first. This is actually bad, as anyone who's had their computer suddenly just turn off on them in the middle of a project where they weren't at the computer to tell it "NO!" can attest. (Save early and often, don't go without periodically adding bookmarks, don't leave LJ posts hanging before updating, don't fail to save important chat sessions, save multiple versions of something if you're not sure you want to keep the changes...)
If your updating is turned off, Windows will not ask you if you want to update it. This is also not the best -- despite what you may think of Microsoft's patches and updates, they do fix security vulnerabilities that random asshats exploit to turn your box into a virus-infested zombie machine. Anyone who's had the FBI knock on their door to tell them that their computer was used to crack into somewhere they shouldn't be can attest that there are some things that do need fixing. (True story -- the FBI presenter on computer security shared this. Bunch of college students who weren't even home when the cracking went on -- high speed internet, no firewall, plugged in and running hot through vacation. Idiots.)
Unless you can remember to check for important patches regularly, I recommend one of the two following:
Notify me [when there is an update], but don't automatically download or install them (for the bandwidth-conscious)
Download updates for me, but let me choose when to install them (for those on high-speed connections who can afford to have their OS downloading something from time to time).
Windows XP will probably snarl at you periodically for not having your updating on full automatic, and claim it's "safer". Uh-huh. "Your computer will be protected at the bottom of the stairs!" In point of fact, unless updates are always rolled out at the default obscene hour of the early morning, notifying the user that there is a download immediately as it's released is probably the safest option, provided the user reviews it and installs it promptly. (Disclaimer: some updates do fuck with existing software, much to everyone's angst and so forth. Install wisely, and consult the support staff of the software that got broken.)