One of the cool features of Linux is how the updates work. I'm going to talk about updates with Ubuntu but the same is true, methods might differ, for about all distros. I have the Update Manager set to notify when updates are available. The other night a kernel update was available to install version 2.6.31-20 generic. Throwing caution to the wind, I installed the kernel update with the Update Manager. In my setup I am using Grub as a boot manager and I have the added option of choosing more than one kernel to boot into. Windows will never give you that option after a service pack install ever. This is one aspect where Linux and Windows differ greatly.
A kernel update is a major update since it is the core of the operating system. If I were to do this in Windows it would be considered a service pack update and not easily reversed if something goes wrong. In Linux you can remove a kernel update as easily as installing it.
Service packs can be removed in Windows but it is time intensive and may leave the system unstable. Removing any unneeded kernel in Ubuntu is very easy using Synaptic Package Manager. A quick search for the Linux header or kernel and you will be able to mark the appropriate files for removal. Synaptic will do the rest including updating Grub. This can also be accomplished on the command line using apt-get remove but you will have to know the name of the packages you want to remove.
This is one of the key differences in Linux as opposed to Windows, that will keep me using Linux for a long long time.
Linux Unified Kernel: Linux Unified Kernel, Operating system, Kernel (computing), Application binary interface, Application software, Device driver, ... Windows, Linux, Architecture of Windows NT