Java, along with Adobe, were, IMHO, the most diabolical excuse for a systems program ever to hit the computer world ... it's taken them forever to finally get their act together, it's not perfect, but it is an improvement.
You can now access the Java Control Panel via Windows' Control Panel ... Pay very close attention to the install procedure, for some really stupid reason Oracle, the new owners of Sun, seen it fit to bundle the Ask toolbar in the install procedure. FFS, how irresponsible is that?
Automatic Update Settings
Change the Java update settings through the Java Control panel.
Windows XP: Click Start > Settings > Control Panel
Windows 7 and Vista: Click Start > Control Panel
1. Type Java in the Search Control Panel located in the upper right corner.
2. Launch the Java Control Panel by double-clicking on the Java icon. The Java Control Panel appears.
3. Click the Update tab to access the settings.
4. To enable Java Update to automatically check for updates, select the Check for Updates Automatically check box.
5. To disable Java Update, deselect the Check for Updates Automatically check box. (a very silly idea)
http://www.java.com/en/download/help/java_update.xml#sched
Oh, and make sure you don't have any 'old' versions installed, uninstall anything before ver 7 ... another point, auto update sometimes doesn't auto update, check it often and/or go get Secunia and leave it installed.
Despite all the safety measures one can take, you can still be caught by some nastie or other. It's not ALL doom and gloom, the coffee is nice here.