When you start the process Windows update connects your computer to the Windows update website. Certain software scans your OS and find whether your computer needed an update or not. If needed, then it provides the update file to your computer to download.
Take a look at this document Windows Update Explained - Download Center - Microsoft:
Checking for updates
The Windows Update client on your PC checks the
Windows Update server at Microsoft for the availability of new updates
at random intervals, every 17 to 22 hours.
The randomization ensures
that the Windows Update server is not overloaded with requests for
updates all at the same time. The client is very efficient in checking
for new updates and searches only for updates that have been added
since the last time updates were searched, allowing it to find updates
quickly and efficiently.
When checking for updates, the Windows
Update client evaluates whether the update is appropriate for your
computer using guidelines defined by the publisher of the update, for
example, Microsoft Office.
If the computer is not online at the time
you specified to check for updates, then the Windows Update client
begins checking every five hours until it successfully finds updates.
If more than 30 days have gone by without successfully finding
updates, the client will notify you. If you should receive such a
notification, you should connect your computer to the Internet, go to
the Windows Update Web site, and check for updates.