When we have made an update the game should actually update itself automatically. However, Java does not always recognize the new version. In that case, you can force the update / a fresh download by doing the following:

Start -> Run -> Type "javaws -viewer" (without the quotes) -> Ok

A window named "Java Cache Viewer" should pop up. In that window, delete everything with Supremacy 1914 in its name, close it and try to log in again. You should see a download window for the new version and the program should start normally.