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 from Mac OS X Leopard is shown below:

Two Areas
Software Update has two main areas.  The top area lists the available updates with each update shown on a unique line.  The bottom area shows a description of the update.  The example above shows that eleven updates are available.  You can un-check an update if you do not wish to install the update.  Also notice that some updates will require that your Mac be restarted in order to complete the update.  You can easily identify these by the left pointing arrow.

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.

Updates

• May 1, 2009 - content revision, updated image for Mac OS X Leopard