The major new feature here is improved heuristic scanning, which should improve detection rates, but possibly at the cost of more false positives. Contrary to what most other sites are reporting, Security Essentials did not rely solely on definitions in version 1.0; it has always had heuristic scanning, it's just that version 2 has a better engine.
Another major addition is network inspection. This feature makes use of thw Windows Filtering Platform introduced with Windows Vista, which is also included in Windows 7 (but not in XP - but then again, XP is an old turd and you need to move on). I'm sure the following explanation makes a lot of sense to those in the know (I only vaguely get it)."
Windows Firewall has also been integrated into MSE, but said integration doesn't amount to more than being able to tweak the Firewall from inside MSE. MSE 2.0 also integrates with Internet Explorer so that it can block malicious scripts.
While this new version is supposed to appear inside MSE and/or Windows Update, but several people are reporting that's not yet the case. You can always download the new version from Microsoft's download centre.