It only appears in Settings > General when you have iOS 5+ installed - if you are on iOS 4 then you will need to do the next update via your computer's iTunes
Updating to iOS 5+ : http://support.apple.com/kb/HT4972
Thank you for your reply.
I have just connected to I tunes and it started looking for updates but then I got this message.
"make sure your network settings are correct and your network connection is active, or try again later"
I have tried this a few times and keep getting same message. I am connected to Internet successfully!!!!!!!