In your Programs folder is the program itself and the Saved Games folder is what stores things like options and preferences, controller layout, downloaded missions and skins, and other files that need to be created.
It should be pretty obvious what you're updating. If it just says DCS World its the release version. It will say DCS Open Beta for Beta version. Both of these have only Caucasus map. If its DCS OpenAlpha you will need NTTR or Normandy for it.
Your modules get updated too so when your download is complete you're all set.