Well, @malux there are generally two ways of updating the Android OS.
First one is done by your carrier, i.e. in this there are two steps you can either update it over the air(OTA) or by using PC suite. Like @fukutu said you can update your device OTA by heading over the settings>about device>check for update>download . If your carrier has feed the update then your device will automatically download the update and will update your device automatically. Next method is by using PC suite some vendors like samsung .... has their own PC suites you can update your device by connecting it to the PC with data cable and if the update is available the PC suite is going to download the update and install it over your device.
2nd method available to update the device is by updating it by rooting ! This method of updating is employed over the device which are abandoned by the carrier means they are not going to be feed with the update OTA. In this various the latest version of Android is downloaded from other sources like Cynogenmod, Slimbean, Supersonic HD .... etc sources and its again flashed over your device.