If the iPhone 4 did not have iOS 5 then the OTA update option is not there. You will have to connect the iPhone to the computer via USB to conduct the update. After this update, the option to update in Settings OTA will appear.
Just read a little further, you will need to have iTunes 10.7 to be able to update to iOS 6. Update the iTunes on the computer first.
Message was edited by: ChrisJ4203