Most likely it's the latter.
If you have Windows Update enabled, you'll just get a little yellow shield icon appearing in the system tray by the clock.
If something pops up on your screen and tells you to download or install something to make your computer faster or clean out the registry or even make your email look nice or show you what the weather's like, it's stuff you shouldn't be installing. It'll just collect your surfing habits and broadcast them back to its bosses so they can serve you up even more advertising than they do now!