Here is a step by step procedure on how to set up and configure automatic updates in windows xp.
Click on Start - Control Panel and select Automatic Updates.
The Automatic Updates window opens up.
Check the Automatic (recommended) to let windows check and download updates as they are available and inform you accordingly. You can choose the time and frequency of download. Set is to every Sunday.
The second option is download updates for me, but let me choose when to install them.
The third option is Notify me but don't automatically download or install them.
And the last option is turn off automatic updates which is not recommended.
Some urgent security fixes that are released by Microsoft wont be notified to you if you turn off automatic updates, as then you would have to manually check for them.