Updates are rolled out over the air, (Settings > Phone Update) but if you don't want to wait for a new update, you can use Navifirm to update your Lumia to the latest version.

Part 1:

1. Download and install Nokia Care Suite from here
2. download Navifirm from here and extract the zip file (note where you extract it to)
3. Run NaviFirmPlus.exe to install the program
4. Open NaviFirm
5. Set the server to "Server: Nokia Care Suite" in the upper left
6. Select your phone model under the "Products" section (easier to search)
7. Once you select your phone you'll get a list of the latest firmware for your phone under releases
8. Click on a stable release that best describes your phone, carrier, and location under variants
9. Files that are already marked are required - select all if not all files are selected
10. Under save to you should see C:\ProgramData\Nokia\Packages\Products\RM-8XX\ - RM-XXX should be your product type (code) which is seen in the left next to the model name - for example the Lumia 920 is RM-820. If this folder doesn't exist you have to create it.
11. Click download to start downloading the files and wait for them to finish

Part 2:

1. Plug your phone into your computer
2. Open Nokia Care Suite
3. Select your phone from the drop down on the left
4. The icon for data packages in the lower right should be green - if it is not go to File > Settings - the Package download should be set to C:\ProgramData\Nokia\Packages\Products\ Once this is changed click save, click on the icon and click refresh. It should now be green
5. Go to Programming > Refurbish and the software should update on your phone