However, this process has been made MUCH easier with the discovery of software update monitors. I have two that I particularly like: FileHippo's Update Checker (UDC) and Secunia's Personal Software Inspector (PSI).
Secunia's Personal Software Inspector is the best update monitor for users that are very security conscious. It lets you know which programs are patched, which are insecure and which are no longer maintained. It lists all your programs, and provides links to the vendor's homepage, technical details, the installation folder and "Add/Remove Programs."