Your operating system, Windows XP, is just like any software that runs on your computer, in that it needs to be updated from time to time. This can be for a variety of reasons, including fixing little holes in the system that could cause damage if anyone exploited them.
Unfortunately, Windows does something quite bad in that it does this sort of behaviour automatically without properly explaining why it's doing it at any point.
But basically, click the balloon to install the updates, and then you may need to restart once completed.