In the preferences for Software Update you can set it to check for updates daily, weekly, or monthly.  You have the option to disable automatic checks if you prefer to check for updates manually.  Starting with Mac OS X 10.5 (Leopard) you can set Software Update to automatically download updates and notify you when they are ready for installation.
 
When Software Update finds updates available for download, they will be displayed in a list.  An example is shown below:

Read the following guide on how to manually launch and download updates with Software Update.  Instead of updating your Mac with Software update, you can use a Standalone installer.