Hi, marcymex -
The message that you must 'unlock the volume' indicates that the machine is probably booted to a CD. The contents of a CD can not be altered - that is, the CD can not be written to. The OS treats this condition as if the volume is locked, which in effect it is - but it can not be unlocked.
In order to install a firmware update, the machine must be booted to an OS on the hard drive, and the installer for the firmware update must also be on and run from the hard drive.
This means you will need to boot the machine to the OS 8.6 on the hard drive in order to install the firmware update.
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Suggestion - once you have the firmware updated and are ready to install OS 9, it would be a good idea to install it via a Clean Install. Note that doing this will remove nothing - instead, it will install a brand new, 'clean' OS 9 System Folder, rename the old one to Previous System Folder, install a new set of standard utilities, and little else.
Article #58176 - Mac OS 8, Mac OS 9: Performing a Clean Installation
By doing a Clean Install of OS 9 you will eliminate the possibility of old OS 8.x files being accidentally left behind; their presence can interfere with OS 9's ability to work.