Microsoft released a patch today for every still-supported Windows operating system correcting a very serious and highly publicized issue with how Windows handles shortcuts.
What this update does:
This update from Microsoft corrects an issue with Windows Shell, a basic component of every Windows operating system. If you don't apply this update, you leave yourself open to an avenue of attack that every malware creator in the world is now very well aware of.
This update applies to you if: you're running any version of Windows.
More Information:
This is a serious issue with Windows and you should apply this update. This problem is listed as Critical.
Both 32-bit and 64-bit versions of Windows are affected.
Automatically install: via Windows Update.
Manually install: via the download link for your operating system here.
Details from Microsoft: Security Bulletin MS10-046 and Knowledge Base Article 2286198
Related Topics:


Where do I download the patch for Windows XP Service pack2
@Shankar: Microsoft did not fix this issue in Windows XP SP2 because Windows XP SP2 is no longer supported. Microsoft dropped support for XP SP2 on July 13, 2010.
You need to install Windows XP SP3 (it’s free) and then install the patch.
My computer has Win Media Center which doesn’t like SP3: what do I do?
@harlie: There’s a workaround that Microsoft developed that you can apply here.
However, the very best answer is to find a way to get SP3 successfully installed on your computer and then apply the actual patch.