If you device runs in iOS 5.0 or later you can update it going to settings>general>software update. Just check http://support.apple.com/kb/HT4623?viewlocale=en_US.
If your device still running on 4.x you need to update it using iTunes. Just follow this link http://support.apple.com/kb/HT4972?viewlocale=en_US
To check your current version just check settings>general>about