OP, since the question was slightly unclear, let me clarify (both previous posters were correct, btw). Software Update will download and install the EFI firmware updates, though you usually will have to go through the actual install process manually after it downloads them, but it will automatically launch the updater. This is because EFI updates require a restart into the special mode that is used to update the EFI. OS X updates (such as 10.6.x or 10.7.x) do not contain the EFI updates, although they may be downloaded at the same time.
jW