You need WSUS 4 (Windows Server 2012 and 2012 R2) in order to receive more than security updates for Windows 10. You can upgrade from an earlier version of Windows Server or install a new instance.
You can use the Windows Internal Database or install your own instance of SQLExpress or full SQL Server. For me, I opted to installed SQL Server 2012 and have the database reside on a separate partition to the Windows partition.
During the installation of WSUS – you cannot do an in-situ upgrade – untick the WID option and select “Database”. You can then specify the database when WSUS is first run after the installation is complete.