See iOS: How to update your iPhone, iPad, or iPod touch
If you are currently running an iOS lower than 5.0, connect to your computer & click on the "Update your device using iTunes".
Tip - Disable your firewall and anitvirus software temporarily. Then download and install the iOS update. After you update to iOS 5.x, the next update can be installed via wifi (i.e., not connected to your computer).