Make sure you are updating your phone the correct way, by connecting to iTunes and clicking Check for Updates on the Summary tab of your iTunes sync settings. Do not try to download the firmware file from the internet first. Also be sure iTunes is up to date before updating.
Delete the existing firmware (.ipsw) file and try again. You will find it at one of the following locations:
- Mac OS X: ~/Library/Application Support/MobileSync/Backup
- Windows XP: %AppData%\Apple Computer\MobileSync\Backup
- Windows Vista: %AppData%\Roaming\Apple Computer\MobileSync\Backup
- Windows 7: %AppData%\Roaming\Apple Computer\MobileSync\Backup