If you're running a Windows machine, I've no idea how it handles the microcode updates.

For LINUX (and probably BSD/etc users):

https://wiki.archlinux.org/index.php/microcode#Enabling_Inte...

Your distribution probably has a firmware package that has this bootloader stub. It applies the latest microcode updates just before your OS actually begins starting up (but for Linux after the Kernel has initialized things and is preparing to hand off to the initrd).

Yes, this is something that needs to happen at every boot; they don't get burned in to the CPU.