Connect to Internet via WiFi or activate data connection
Head to:
Settings > All Settings > About phone > System Update
Your android device will automatically check for any available updates.
You can also install Kies, connect your phone and launch Kies. If any updates are available the software will prompt you to update. (Take a backup before you start)
If you are looking for non-factory updates (provided by individual developers) you must locate and download firmware and install it via SD card or another software like Odin. You must activate developer option. You might have to root your device.
Warning: Using a non-factory firmware might permanently brick your device.