It's sort of like Windows update, but for a hardware device, and it's not an automated process. It's definitely not something that is done weekly, but if you are having problems with a device (eg: your audio starts crapping out, or your mouse is right-clicking when you're not touching it), or if your device is lacking some functionality that you know it should have, then it would be a good idea to update to the newest drivers available on the manufacturer website. Nearly all manufacturers will provide free driver downloads for their devices.
Even when you buy a new piece of hardware to upgrade your system, usually the drivers on the driver disk that comes with your hardware are outdated, so a lot of people (myself included) just ignore the disk entirely and go straight to the manufacturer for the most current driver.
Process, in a nutshell:
Download the new driver.
Uninstall the old driver.
Reboot.
Install the new driver.
Reboot.