The upgrading and patching of a VPS or VM is the responsibility of the VPS\VM owner. In particular for any third party applications you might install such as MSSQL, MySQL, or PHP. You will need to keep this updated and secure yourself.
If you have Plesk installed you can keep PHP and MySQL up to date within the Plesk control panel.
General Operating System updates are installed onto the physical VPS server itself and pushed out to all relevant VPS packages on that server. You do not need to install these updates manually. In particular for Windows users, please do not attempt to install Windows Updates manually on the VPS itself, this is not an issue on our VM plans so you can and should apply any Windows updates yourself on a VM.
On Linux VPS packages we do not recommend you perform any major dist-upgrades without consulting us first as this could cause issues within your VPS. Again this is not an issue on our VM plans, though you might want to check our list of templates to see if any suit you better first.
*** Do not use Windows Update on your VPS ***
note: you can use windows updates on our newer Cloud VM plans, but not on our older VPS plans.