There’s no reason you should be concerned about your PC's security and Windows Update. "Although Windows Update must scan your computer to provide you with the appropriate files, patches, and security updates, it does not collect your name, address, e-mail address, or any other form of personally identifiable information. The information collected is only used during the period of time that you are visiting the Web site, and it is not saved." (This is taken directly from the Windows Update Privacy Statement.)
If you are concerned about what is collected when your computer is scanned, the information it acquires is listed here:
• Operating-system version number
• Internet Explorer version number
• Version numbers of other software
• Plug and Play ID numbers of hardware devices
• Region and language setting
• Product ID and Product Key (As with other information collected, the Product ID and Product Key are not retained beyond the end of the update session, but if the Product ID is not valid, that information is retained.)
In addition, the site and transmissions are protected and well maintained, so there’s no need to be worried about hackers, viruses, worms, or getting the wrong updates. You can imagine the uproar if the Windows Update site was not secure! So, if you’re using a legal copy of Windows (which you should be), if you log on to the Internet frequently, and if you want to get your updates automatically, configuring automatic updates is definitely the way to go.