I. Stata Official Updates
The CD you get when you purchase Stata you does not contain the very latest version of Stata. You need to download the latest Stata binary and ado's. To download the lest verison select "Offical Updates" from the Stata Help menu. Click on http://www.stata.com. Of course, your computer will need to have an Internet connection to do this. Stata will let you know whether you need to update the binary file and/or the ado files.
The ado files are updated automatically. To update the Stata binary you will need to quit Stata and change the names of two files and then restart Stata. The program will tell you which files to change.
II. Add-on Ado Files
In addiion to Stata's built-in commands there are hundreds of user written ado commands which are available to you. Most are good, some are indespensible. Here are some locations where you can find Stata ado files:
Linear Statistical Models Course