Welcome to CentOS 4.0. This product is built from the Free/Open Source packages for Red Hat, Inc.'s Red Hat Enterprise Linux product so you will probably find valuable information in books and online resources for that product which apply here.
Red Hat Network is one of the centerpieces of RHEL, and obviously an derivative like CentOS cannot connect to RHN. Steps have been taken to ensure that CentOS will not default to connecting to RHN and you should not attempt to reconfigure it to do so. Beyond the moral objections to attempting to hack RHN for services not paid for, CentOS does differ from RHEL enough that any success at connecting would probably just corrupt your system.
CentOS includes it's own method of distributing errata and security patches. Yum has been ported in along with the yum compatible up2date from the Fedora Project. The config file at /etc/sysconfig/rhn/sources contains example configuration lines of some existing mirror sites. More sites can be found at the CentOS website.
APT and synaptic have also been included as an option to do updates.
After a quick edit of the config file, run the graphical Up2Date Network tool and it will quickly and efficiently update your system as well. So ... there are 3 choices for updates.
See CentOS.org for more information and help for CentOS.