Yes, you need to do updates in Windows. Windows 10 will generally update itself, older versions of windows you need to run updates yourself.
Microsoft announced last week that they found a major vulnerability in various versions of Windows that will allow hackers to make major attacks on Windows. Microsoft announced they have made patches for all versions of Windows back to Windows XP to correct this vulnerability. This is obviously a major vulnerability that Microsoft is seeing and patching since going to all these versions. Microsoft quit supporting Windows XP a while back which means they no longer do updates for it; however, this apparently is that great to them that they made a patch for Windows XP also.
In Windows 10 it should automatically apply the patch but if you want to make sure or get it before automatically done type updates in the search box and choose Windows updates. There you can see what patches have been applied and also tell Windows to go ahead and do all updates now.
In prior versions of Windows (8, 8.1, 7, Vista and XP) either do as above and choose all updates offered or go in control panel and look for System or Updates and choose and then go in Updates and then you will get a list of updates to download and apply. In these cases choose all of them and choose to update.
Security updates and critical updates in any version are always important and should normally be applied immediately to prevent attacks. The Wanna Cry exploit could have never occurred if in previous months people had applied to Windows and Microsoft is inferring this is similar.
Keep safe on your computer with a current updated anti-virus, firewall and an updated Windows’ and being a smart user.