Yes you should do Windows Updates. Updates are normally made on Tuesday and Microsoft tries to limit to once or twice a month. Tuesday so that the updates go out at beginning of work week in all time zones in the world.
Windows Updates are mainly changes that Microsoft has made to Windows to fix security weaknesses that have been discovered. The weaknesses could allow hackers and others to get in your machine and do bad things.
In addition Windows Updates corrects problems found in Windows and very occasionally adds a new function. Windows is a very large program and even with the extensive testing Microsoft does some problems occur. Some problems occur as new devices and ways to do stuff develop.
You can set Updates in Windows to automatically download important updates, automatically download important updates and ask permission to install or manually download and install updates. The automatic only does important updates so I recommend everyone occasional (every month or two) go in Windows updates thru Control Panel or Start menu and manually search for updates as there are occasionally other updates (usually for device drivers like network card) and to do those updates also. Some businesses have updates set so that they download and check and test them and then distribute to their users from their server
As versions of Windows get older Microsoft quits doing the updates to fix problems and then the security updates. Currently Microsoft is still providing security updates for XP but that will disappear in near future. XP is not as secure Windows as Windows 7 is.