Windows Update is a Microsoft service that provides security updates and patches for the Microsoft Operating Systems and other Microsoft products, like Microsoft Office.
It's a free service that can also offer updated drivers and features usually on the second Tuesday of the month.
Where to Find Windows Update
Windows 10 - Windows update can be found within System Settings, within "Updates & Security"
Windows 8,7 and Windows Vista - Windows update can be found within the Control Panel.
Running Windows Update on a regular basis is important to ensure that your system is protected against the latest security issues as well as known issues.