Windows 98 has what's called the Cumulative Update. Go to
http://download.microsoft.com and search for it. I believe Windows ME has similar. I am not going to check though because sorry, but ME is the nastiest version of Windows to grace this earth. My condolences!
Windows 2000 has Service Pack 4. Install it.
Windows NT has Service Pack 6. Install that.
Windows XP has a Service Pack 1. Install that. Your Windows XP will become USELESS if you are using a pirate (copied, stolen, borrowed) version.
Everyone on Windows 2000, NT or XP ALSO needs the RPC stub vulnerability patch. Search for them. Install them.
Windows 95 might as well be an open invitation to hackers. Sorry, but it is so old, it won't run the latest Internet Explorer and it's dangerous. Save all your PTR cash and upgrade as soon as you can.
EVERYONE who is running Internet Explorer should be using version 6 with the Service Pack installed. Search for IE 6 and run the service pack.
A word to the wise: your fantastic (whatever) browser that is free might be a serious security risk. For this reason I recommend you run IE, Mozilla, or Netscape, the three that are trusted and not known for major security holes that have been left unpatched.