RevdKathy, from what i have done using my device, the way it works is (at least for any installed applications, not had a firmware alert yet -
in the "indicator area" (the bit at the top of the screen with the clock etc) you see a little yellow/orange box with an exclamation mark.

You tap the clock, that pops-up a dialog-box, that shows what has an update.

you then choose to do the update, and it is then virtually the same as installing an app i.e. you check the box, click ok and watch a couple of progress bars, then see the message "1 application installed succesfully".