The first step in updating Java is that you download the installer which you save, probably in the 'Downloads' folder.
You then need to run the installer. You can do this either by using the 'Run' command or by opening Windows (File) Explorer navigating to the downloader and then double clicking on it. This will start it running. You will then get an install box which shows you the pregress of the download of the main program and its installation. When it has finished you will normally get a browser opening taking you to the 'correct version page'.
If Java is installed it should show up in 'Control panel - Programs and features'
You will notice that I have edited your topic title to make it clear that this is about installing Java and not Windows.