If you are using Stata 10, and you have a direct Internet connection, type update query in Stata, and Stata will tell you if there are updates and what to do next. See [R] update in the Stata Base Reference Manual for more information.
If you do not have access to the Internet from within Stata, see below.
If you are using a version of Stata prior to 10, click here.
If you are using a version of Stata newer than 10, click here.
There are two components to Stata:
The Stata executable is updated only rarely. More frequently the ado-files are updated. The easiest way to update is to type update query in Stata to see if updates are available and to follow the instructions it gives you to automatically download and install updates. If you prefer to update by hand, you should click on the links above both for the Stata ado-files and for the executable for your operating system.
Unofficial additions to Stata are also available: