This is a mandatory update that you will get prompted for once you login to Xbox Live the next time with this game in your console.
I also got this mail in my inbox from the 2K6 sports team that explains a little more:
Xbox 360 HDD issue with Major League Baseball 2K6
2K Sports has finalized a solution that solves the issue found with Xbox 360 HDD systems when playing Major League Baseball 2K6. The 2K Sports QA team pinpointed and confirmed with Microsoft a cache issue with replays that users with the HDD systems may encounter. The cache issue has been limited to less than 10% of the Major League Baseball 2K6 Xbox 360 users. When these machines are powered down during gameplay, the cache on the HDD may become corrupted and may result in the system freeze issue. 2K Sports has isolated the cause and has created a Title Update to correct this issue that is now available.
How do I access the Title Update?
A Title Update is available on Xbox Live free via the Xbox 360 Live Silver service that comes with every Xbox 360. NOTE – You are not required to have an Xbox Live Gold account to download this Title Update. Once you are connected to Xbox Live, you will just need to insert your Major League Baseball 2K6 game into your Xbox 360 console and a prompt will come up regarding an update available for this game. You can then select Yes, update now and the Title Update will be applied to your console. As precaution, we recommend that all users who use an HDD download this Title Update.
* If you’ve received an error while downloading the update, please try rebooting and downloading again.
We sincerely apologize for any inconvenience to your playing experience and we appreciate your understanding and support. Please stay tuned for further updates.
2K SPORTS TEAM