As reported on Saturday Microsoft issued the first Xbox 360 software update on Monday via Xbox live.

The update features improvements to the Xbox Guide, option to retain saved games when deleting a profile, increased 'last time played' accuracy, better error messages on unreadable disks or region errors and Xbox live members in the Netherlands get network improvements. The Xbox 360 software update installs automatically when connecting to Xbox Live.
The update is less exciting than anticipated. Gamasutra reports that the infamous Xbox 360 retail demo disk does not work anymore after the update. This disc did not have copy protection and the modding and hacking community tried to figure out the inner workings of the Xbox 360 with it.
More details about the update on the Microsoft Xbox site.