if you are on windows, you can try to run the updater to see if you get any new files, but if the client loads and lets you start creating your first character, I typically would its fine enough and you don't need to run the updater. for mac, i believe you are not to run the updater at all. not sure about the linux version.
the updater program is installed to the same place the game client is installed to. there is also a setup program installed there as well. if you installed it under windows, there should be a planeshift menu under your start button that has shortcuts to all three of these programs.
edit: caarrie was nice enough to let me know that the linux updater does indeed work fine. thanks caarrie.