Jan Allan Andersen wrote:

I understand that when You're using BOINC, if there is a new version of BOINC, then You will have to download and install that.\

YEP

But when there is new versions of the seti_client etc. used in BOINC, they should be upgraded absolutely automatic.

CORRECT

Is that true for both windows and linux version?

DUNNO

And is there any place where you can see what version of the different clients is used?

YEP:
Go to the BOINC GUI and go to the messages tab.
It will state something like "resuming *bla bla* using setiathome version x.xx . The last three digits are your current version number for SETI :)

Greets,
Mark