If you are running XP or earlier, right click on My Computer and select Properties. In the box that pops up, click the Automatic Updates tab.

See if these are even turned on - they are vital on a Windows computer and include updates for IE.

You can also click Start. select Programs...and Windows Update should be at the very top of the list that pops up. Select that and run it. Note - IE will open as it is the Windows browser and is the only one that can download the updates.