My real question is how are patches and updates authenticated in general. But for example how does windows know a windows update is really a windows update, does it just trust the URL or is there some kind of certificate?
All updates are digitally signed by Microsoft's private key, you will get warnings if any updates are not signed, or signed with the wrong key. Even if a MiTM was able to send fake updates they'd be rejected by the update utility for that reason.
Comodohacker, the guy who breached DigiNotar last year, claimed that he is able to issue fake certificates in the identity of Microsoft, and that he could provide fake updates. http://news.cnet.com/8301-1009_3-20104883-83/comodohacker-i-can-issue-fake-windows-updates/ I haven't heard any confirmation of this happening, and Microsoft moved immediately to revoke the trust of DigiNotar as soon as the hack was announced, so it's possible nothing happened as a result.
But my advice is you are still much safer trusting it than you are to run un-patched; just don't be completely surprised if someone does breach it some day.