Q: How do I get started ?

read http://support.apple.com/kb/ht3529

Well if you explained a little more about what it is that you are trying to do you might get a better answer

UPDATING iOS

Over the air updating of iOS needs iOS 5 or later so unless you have iOS 5 or later you will not see updating in setting

The following link explains how to update http://support.apple.com/kb/HT4972

This link explains how to update using wireless http://support.apple.com/kb/HT4623

This explains how to transfer purchases to your computer http://support.apple.com/kb/ht1848

Do a backup first it is not a new phone http://support.apple.com/kb/ht1766

No you should read the links to find out how to do the things you want to do.  Over the air update in sttings/general/software update is possible if you have iOS 5 or later.  I am assuming that you have something later than that.  Just read the information first in the links I provided.  The first thing you should do if this is not a new phone and has data on it that you want to keep is the backup thing I mentioned.

Have you previously used it?  If so do a backup.  Doesn't take long.  Then do the update

Well you could not have created much in the way of new content in a day soif there is nothing there that is different from yesterday do the update thing if you have a good backup that you can restore form if things go awry

write them down or log back in here.  Or read them first or print them your choice