From where are you downloading the update? If you're not going through iTunes, you're probably getting the incorrect update file. Every model of iOS has a different upgrade file; you cannot use the one for an iPad, or even a different model of iPhone, in your iPhone 4. So you need the one specific to your iPhone.
If you are using iTunes, please post the specifics of the problem including any error messages.
Hi, thanks for your reply. I downloaded it through the phone menu...Settings-General-Software Update. The phone downloaded the update through wifi, and is actually downloaded. But when I go to install, and hit the Agree button, the phone goes to verify the update, then tells me there's been an error & it takes me back to "Unable to install update. An error occurred installing iOS 5.1.1. 'Close' 'Settings' "
I just don't know what I'm doing wrong.
Thanks for the clarification. Try restarting/resetting the iPhone:
That might help. If not, try upgarding from iTunes on your computer, if you have one available.