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You can run "yum update" to update all packages including kernel to a later version. However you should reboot to use the new kernel after the update.
You don't have to update all packages at once or the kernel. You can do "yum update <package>" on any specific package.
Note that in RedHat Enteprise Linux (RHEL) the updates are from one minor version to another in the same major version and NOT from major to major. That is "yum update" on RHEL 5.3 will update you to the latest (e.g. RHEL5.10) in the major RHEL5 but will NOT update you to RHEL 6.x.
You can run "yum list installed" to see the packages you have via yum. (You can also run "rpm -qa" to see all installed rpms whether installed by yum or not.)
yum is a utility to address dependencies so it will find necessary packages to install when you are updating one without you having to go find them yourself. Prior to its introduction people used "rpm -i" to install but often would be stopped for a dependency and on doing the next depenency would be asked for yet another one which was called "dependency hell". Most folks don't have to deal with that now that yum is around.
If you type "man yum" you can find more detail of the use of the yum command.
Note that RHEL requires you to have registered your server for yum to be able to access their repositories.