Microsoft announced in the Security Bulletin MS11-081 published in October that all versions of Internet Explorer (from 6 to 9) on all Windows operating system versions are affected by some vulnerabilities, many of them critical. In the same time, updates were delivered by means of automatic updates.
Microsoft updated now the Security Bulletin in order to help the users who experienced issues with these updates by providing KB articles which might help solving these problems.
Microsoft Knowledge Base Article 2586448 documents the currently known issues that customers may experience when installing this security update. The article also documents recommended solutions for these issues.
In general, to receive these updates, you only have to update using the built-in autoupdate of Windows. In case you did not enable automatic updating then it is strongly recommended to do so, otherwise you need to manually check for updates and install them manually.