You can't update a single Yahoo! Widget unless it asks you to.*
To check for updates on all Widgets in the Widgets folder, do the following:
If you have Widgets you didn't get from Yahoo! Widgets, you have to go to the source and check for updates yourself. There might be some Widgets in the Yahoo! Widgets Gallery that you will want to check for an update; however, we're working on making sure all Widgets from the Yahoo! Widgets Gallery can be updated with the Check for Updates menu item.
* You can disable the update check feature in Yahoo! Widgets Preferences. Open the gear menu, choose Preferences, choose Advanced, and clear Automatically check for Widget updates.