There are 2 ways to update your iPhone.
1. Update wirelessly (Available in iOS 5 or later)
- On your device, open the Settings app
- Go to General > Software Update
- If an update is available, tap 'Download'
- Once the update has been downloaded, tap 'Install'
2. Update using iTunes
- Connect your iPhone to your computer with a USB cable
- Open iTunes
- Select your iPhone on the left hand side menu
- Click 'Check for updates'