Keeping a Drupal install up to date can be an issue. Fortunately Drupal is distributed via CVS. This makes both downloading it and keeping it up to date a snap. I'm currently setting up a staging website and D 5.12 came out just after I installed D 5.11. This was a great time to take CVS for a rip.

Right of the bat I installed Drupal via CVS. The following command will download it (assuming you are downloading to ./httpdocs/)

    cvs -z6 -d:pserver:anonymous:anonymous@cvs.drupal.org:/cvs/drupal checkout -r DRUPAL-5-11 -d ./httpdocs/ drupal

Fire that command off and you'll have a working copy in a few seconds.

If you need to update to say DRUPAL-5-12 issue the following command:

    cvs -q update -r DRUPAL-5-12-dP

I also highly recommend a combination of the Drush module and Update Status. The combination of those two modules will notify you of anything that needs to be updated and provide a streamlined mechanism for installing them!