No, it updates itself automatically as long as it is running and is connected to the internet.  However, it may take several hours for it to download the entire block chain from the network if you just started it.  It will only have to do this once, it stores the chain locally on your computer so you don't have to keep load the entire chain every time you start it.  It will just download the new blocks it doesn't have already each time you start it.  You can check which is the latest block it has downloaded in the lower right corner of the BitCoin client.  The current block is 14693.